If not given a choice, I have no problem with a female lead, and often like it more than a male, which has been done so much before that I tend to prefer female for that reason, but not only that reason.

In an MMORPG setting, I vary my choice. Sometimes I'll choose male, like I did on FFXI. However, on some games, the females have access to nice dresses and robes as a mage. Considering I usually choose mages, I tend to go with female.

I have seen people who only play as males when given a choice, but I don't think it's ever been for bad reasons. They just choose the gender which best represents their real self. They're male, so they pick male. Female players usually pick female; though I don't know many. But this is mostly true from what I've seen on MMO's.