I play RPGs as female characters quite often. They just look better to me, plus if the game features fully voiced protagonist and I'm going to hear their voice quite a lot, then it might as well be voice that attracts me. As for fantasizing about actually being the opposite gender in real life... I don't think I've done that much.

Then again, I see gender as nothing more than a social construct (not confusing with sex!). So, while I might theoretically fantasize about being the opposite sex (not sure why I would though), being the opposite gender doesn't mean much to me.