For me, it depends on the game.

In World of Warcraft where I don't have any bond with the world and just push keys and do raids I play a mix of genders, it all depends on what race/gender has nicer animations like I hate female undead animations so I play male undead, on the other side, I hate male trolls animations (especially as a caster) so I play female troll.

In FFXIV I can play only male characters, there is a huge bond with the story and characters, I play as "me" for the immerse. I tried to play as a female character in FFXIV, I cringed out and bought Phantasia instantly and switched to male.

So just two examples, but I apply that to everything - it all depends on the game, if I do care about immerse, storyline, and characters, or do I just play it whatever.