I have almost always played the same sex, but I find that playing a different sex is fun at times and challenging at others. Different sexes can have widely different goals and different motives even for the same goals. It's also hard to sound like the opposite sex if it's a table-top rpg.
It's all an exercise in creativity, so why not try the opposite sex?
One of my most enjoyable characters I've made and played was Mama Cici, an overweight black peasant woman, ill-suited to the life of an adventurer, who nonetheless wound up in a party in Warhammer Fantasy Role Play - the other players also were quite entertained with her; while she was inept at the heroic things, like failing rolls to simply ride a horse, I gave her the sympathetic and forceful personality of a worldly mother of two that was able to dispense homespun advise and wisdom at the drop of a hatpin. I have also played a "Valley Girl" Elven Archer, much to the dismay of the other players, and in Call of Cthulhu, I have played a sultry torch singer and an underage street urchin girl.
Contrasting that, I also enjoyed playing a somewhat naive priest, a halfling pit-fighter and my favorite warrior/pit-fighter/wrestler, who was so tall and stats so high, he could tackle people out of a third-story window, fall with them, soak the damage and walk off. I think either sex can portray their own and the opposite with both some positive and entertaining qualities, rather than simply stereotypes.
I have never attempted a female in table top but have done so in other on line rpg games. I did ok I think because I got hit on a few time! I think jpatt you are right it is the quirks in personality that really make the character enjoyable.
That is the key to any RPG. No matter the sex of the character your playing if you can make that character come to life with their own personality then that is what truely makea a RPG worth playing. It is also fun for the GM/DM to have characters who are played to the hilt by the players. It makes the whole game more fun and even random encounters can go in directions the GM/DM did not realize.
Playing as a different sex really brings out your character skills and if it doesn't you may end up playing a tom boy or a sissy for that matter! Women in the RPG world are usually rough anyway so it's no big deal if they don't curtsey.