While this is personally not my thing, I can sort of understand why people do.
Although I am genuinely surprised that having other players treat you substantially better was not mentioned in the previous posts.
- Create beautiful looking female character
- Name her something cute or convincing enough for others to assume you are a female gamer
- "Act feminine" and "act cute."
- Most people start treating you significantly nicer, helping you out, and giving you free stuff if it's possible
Before you raise the question, no, it does not work nearly as well with a male character, if at all. One of the few only forseeable negative consequences is some people become so convinced that you are who you seem to be that they "confess their feelings for you," and/or try to date you, which could make for some awkward scenarios.
Probably has something to do with how some RPGs have player bases mainly consisting of males.
Maybe all of this is related to where I came from. In Chinese MMOs pretending you are some cute gamer girl is common practice, and it still works.