All too often you don't get a choice. Not too many first-person type games allow you to pick the gender of the character. If you do get to pick the gender, then there isn't much difference that I've seen. That said, if I get to choose gender, I always play the female PC... so I have no comparison other than she kicks as much a** as her male counterparts. 
Edited to add:
I just remembered something about the game Skyrim... your female spouse is portrayed in a very sexist way. She cooks for you, she runs a shop and gives you the money (so it's advantageous to sell to her) and I can't remember what she says, but it's really corny. Something like, "Just back from some great adventure, darling?" And even though she runs a shop, she's always home (at least my spouse was). I've read that some spouses, if you don't come home often enough, will cheat on you.
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