As others have said, it depends on the game. For AC: Odyssey and Immortals: Fenix Rising I went with the female character. Haven't played Valhalla yet, but will likely go with the male character when I do. There are games like RE1 where I played through as Jill first, whereas with RE2, I went Leon on my first playthrough.
For military shooters, I almost always go with a male soldier. For fantasy games, it's pretty split down the middle. For competitive games that have set characters to choose from like Overwatch, R6: Siege, Mortal Kombat, Street Fighter, etc. I opt for the best character that suits my playstyle. In Street Fighter that is almost always Chun-Li, where as in Mortal Kombat it's Sub-Zero.
One of the things I do like about having options is that I can replay a game as a new character. For example, I played through Fallout 4 as a male character on my first go around. However, I opted to play as a female character in my second playthrough.
However, overall as a general rule I usually go with the character that looks or seems the most interesting.