I never really thought of the player character as 'me.' I am not a blue hedgehog, I'm a man. The PC has always been a character, to me. So I really don't care what sex they are. If there is a choice of characters I choose the ones who are the best (i.e. the one most fun to play as or the one who would most suit my play style or the one who would let me win etc). So, for example, if Chun Li was the best character I would play as her. That's not the case but that's how I come to my decision.
If it's purely cosmetic and I get to choose, I generally prefer to look at a female pretend bum than a male pretend bum because I'm straight. If it's a game I'm likely to play online then I might choose a male character because people sometimes assume that you are the same sex as your character and it gets confusing. If it's single player, I know who I am so I pick whatever. Also, if it's a Bioware game or something like that then I will play as a male character so that I don't have to worry about other male characters hitting on me the whole time (although with Bioware that's no guarantee!)
I usually prefer it when the player character is a well-established personality in its own right (like Lara Croft) than a character I design myself. In the latter case, the story becomes really boring because they have to write it as if the main character is a total blank slate because they don't know whether you're going to choose male or female. So, apart from a few really obvious moments when a line of dialogue is changed in a ham-fisted sort of way depending on what sex you're playing as, you just get a story in which the main character is assumed to have no personality.
Generally speaking, though, I don't have an over-abundance of fucks to give about this. Play as what you want, it's all make-believe at the end of the day.
"The trouble with fighting for human freedom is that one spends most of one's time defending scoundrels. For it is against scoundrels that oppressive laws are first aimed, and oppression must be stopped at the beginning if it is to be stopped at all."
-H. L. Mencken