I do. Well I know that for a long time many used the female chars on Black Shot because it was smaller and supposed to be faster than the others. Not sure how much of it is true but at that time a lot of people believed that.
I do. But it depends on the female character. I think my favorite was Trish from the Devil May Cry games. Mainly DMC 2 where she is playable. Just always liked her more than any other video game female ever.
Since I'm a female, if there is an option to set MC's gender to female I'd definitely choose it. Somehow can relate myself better to the game. Weird reason, I know, lol.
So far only Persona 3 Portable allows me to do so. It's especially awesome because like in most Persona games, I can even build relationships with the male students, so it's very cute.
I do play as female characters and I mostly prefer female characters over the guy characters! It's funny because, as an artist, I'm also better at drawing female characters and I have trouble sometimes drawing male characters; unless they have a feminine appearance.