It really depends for me.
In a game such as Mass Effect, Femshep just feels more right due to her voice actor.
In a game such as WoW, I can play as either, all things depending on the casting animations.
Since I've played since mid-vanilla as a druid alliance side, Night elf Female have always just looked better.
Male Night elves look absolutely retarded.
And no, I never pretend to be a girl.