I don't always play female characters, but I can think of a few reasons:

• With rare exceptions I just prefer how the female characters look, be it prettier or cuter, they usually have way better character customization than the male counterparts.
• Female clothing and equipment in games also just look more stylish and flamboyant, especially in Japanese ones.
• And honestly I just like playing as someone different from me, if I can't choose to be an alien or whatever, then the next best thing is a woman.