I almost always play female characters in MMOs. If I'm going to stare at someone's ass for hours on end I know which sex I'd prefer to be looking at...
Actually, the main reason is that most MMOs paint males as beefy, muscley, blokey-blokes, and I just can't roleplay those kind of characters. Seriously, the costume, body-types and hair selections for males in almost all MMOs I've seen really, really, sucks. City of Heroes is about the only one I've played that had passable male character options, but even then it could be better. As for other guys trying to hit on me thinking I'm actually female (and most everyone does), I usually drag them along like lost puppies for as long as I can then slam them with the truth. I figure it's one only way they'll learn to ease up on the real women playing MMOs.
The only downside I've found is that some women seem to take great offence to a male posing as a female. I'm also yet to discover any females playing male characters, then again I very rarely break character and would hazard a guess that most others who play cross-gender do the same so there are probably a lot more out their then I realise.