I'm a guy, and I create female characters in Oblivion all the time.
I'm similar to the OP in a way, I enjoy making faces in face-gen. If a game has a decent face-gen system and gender option, I'll probably pick female. Unless the male options are really freakin' cool.
The male options are generally limited in games, you can either make a square-jawed, cigar chomping badass, a not-so-square-jawed badass who doesn't always have a cigar, or you could make a [censored] who uses too much hairspray.
My main reason for picking female character in Oblivion though, is for screenshots. http://tangentgirls.com/gallery/d/5995-1/Screenshot+07_010.jpg image of mine, for example, would not have worked with some big hairy dude in 400 pounds of armor.
If I actually played the game though, I'd probably pick a male character....if I could find some decent textures and an armor mod that doesn't look ridiculously effeminate. :shrug: