Rarely at all. I can only think of one or two cases where the playthrough was better as a chick. Due to better voice acting or it making more sense for the story. And in others its 50/50 but I prefer to play as my own gender. The only thing I can think is maybe fighting games picking a female character, they are nice to look at. You know Chun-Li in Street Fighter II for instance, but I always played as Ryu.
Oh quite a lot just to mess with guys. Playing as a girl and friendzoning some online players in an online game was peak cherry on top of a sundae for me.
This is an interesting matter because in all of the games I can select a gender I will absolutely pick female just because they have great costumes and they look great but if you are talking about +18 games I played like maximum 4 games with female mc. Interesting huh?