I've done it a few times but it's certainly not my go to. I usually only do so if the character I'm trying to play would be better, more interesting, or generally make more sense as a woman. I only gravitate towards playing elves because they have long lives while I in real life have a horribly crippling fear of death.I've only ever played a female character once. Elf female bard who thought she was the greatest dancer in the world. Couldn't climb a tree to save her life (literally), always had the half-orc claim he was going to rape her in her sleep. I didn't think much of it, the elf kept enough sharp objects on her to make touching her a unwise decision and she was a bitch to attack just due to how broken D&D 3.X could be.
Never ask me to play as the "healer", it never works out well for the party. Either I heal like shit or I play as an "evil" cleric who only has inflict spells.