i tend to play games nowadays with my gender set to female, since it reflects my gender identity a lot more than male. hell, i've even done it on a couple of websites, including this one.
i don't suppose it HAS to do with one's gender identity or sexuality, specifically, since just trying out something different can be fun every once in a while. though it can play a factor, as well: if you had the choice to play as whatever gender you wanted, naturally you'd select the one corresponding the best with you, right?
reminds me of when i played Knights of the Old Republic ages ago. i played through the game with various male and female characters, making up first- and last-names for each of them. making up characters is pretty fun to do.