The story for me is often more dramatic with a female lead (that is kind of ruined a bit by so many sword wielding women running around in these RPGs. I wish women were mostly in traditional roles making my character something of a "freak").
This brings up another point. I find it a bit odd that Skyrim society is so completely without common gender roles, even to the extent of guards seeming to have a high percentage of women, if not actually 50% women. Yes, I know this isn't medieval Earth, it's fantasy, but as I said elsewhere, it's a fantasy world that draws from the mythology and folklore of ancient and medieval Earth - so the very idea that the soldiery will be as much female as male is a bit absurd. Ditto with work that has traditionally been extremely male-dominated, like blacksmithing. In Tamriel it's all gender-neutral, and that's just odd. In a world without artificial powered machinery that relies on animal and human power to do work, heavier work will be done by the men. That started all the way millennia ago when all of mankind were hunter-gatherers. The women gathered wild fruits and vegetables and nuts and I suppose sometimes found things like honey and birds' eggs, while the men went off to spear some honking big mammoth or wild horse or boar or buffalo for food, because the men are on average considerably stronger than the women, and going to kill a one-ton animal with a pointy stick is something that might well require some brute strength. It continued with the spread of agriculture; women do tons and tons of work on farms, but in a day where you had to hitch a heavy plow to a (possibly stubborn) draft animal like a horse or donkey or ox, the man's strength would be an advantage, causing some division of labor.
And soldiering in a time when your ability to use a heavy-pull bow or heft a heavy sword or axe and cleave a skull would not at all be work where 50% of the workers were women. If a thousand men went to fight a similarly equipped, trained and led force of 500 men and 500 women, the thousand men would likely crush the mixed-gender force.
So in short, while of course
the player should be perfectly free to make a female sword-swinging warrior running around cleaving bandit skulls, it feels rather forced when you see that Tamrielian
society seems to be that way. Like Demonhoopa said, it would make more sense and possibly be more rewarding for some if, when they created a female warrior-type, the men around them hooted and hollered a little bit and gave them the old "You sure do look cute all dressed up like you think you're a warrior, sugarpants. Why don't you put that sword down and come sit on my lap?" Then the player could give 'em a good punch in the nose. Perfect opportunity for a brawl right there, wouldn't you say? But no, instead we have a society where apparently women do all the same things men do, despite the fact that pre-industrial societies simply don't work that way and never have, and basically can't.