In Roleplaying games, or whenever I have the choice, I almost always go for the male character. The first time I play the game, that's a given, since I tend to project myself on the character.
Regarding TES, I can play female characters (I think I made one long time ago), but I mostly play males. I think it relates to the RP part of the game, since I can't really identify myself in a female character, and I am one of those that always keeps a little of himself on the character, since it really helps my immersion into it
I guess that is a defect for an RP'er, not to be able to completely separate myself from the character.
Fact is, that in Oblivion, I may start a character around a concept and try to keep by his personality, but most of the times it will all come down to me. For instance, I may have a coldbood murderer or a foolish young warrior, but the way I play them and their personality will always have some influence from me I guess.
That is why, I believe, I cannot play female characters for much time. I just don't identify with them
Oh, and I am a male lol not sure if I refered it up there.