I dunno, I always get the feeling that the game was designed for male characters. I mean they talk to you like you're a guy, you can't have a "girly talk". I know they refer to you as "lady" but still... it doesn't *feel* quite right. I mean it feels weird when a strong muscular orc or something asks a hot girl to go to a cave and kill a bunch of goblins or something... and they reward her with a sword.
That's 'cause she's a roving mercenary, or some other degree of badass. Unless you're roleplaying as a bar wench, or something, in which case you'd have no justification for dungeon crawling. There's no masculine or femenine way to slay villains - they're standing between you and your goals, and they must be destroyed. Granted, a male is probably more likely to be swinging a titanic war hammer, but that's besides the point. There are tons of female NPC adventuers in-game - learn from their example.
I just rolled a male Altmer in Oblivion, and, like any other character, I obsess over his face and wardrobe. My desire to craft attractive characters isn't really limited to females - I just like making faces. So, I suppose I'll take a break and play as a dude for a while.