MMO's - Better hairstyles, armor looks more fitted.
Fighting games - Really depends on the style. I wanted BJJ in a fighting game, they give it to a female character (Laura), so I'm definitely gonna keep pocketing her. Supergirl is straight piff to play with on Injustice, as are Cheetah and Starfire, though we're talking about something as subjective as fighting style.
Fallout - Bonuses, you can charm Benny and sleep with him in NV, thus making you the perfect sleeper agent....I didn't know this of course the first playthrough as I chose a female due to charm working on a higher number of males, like the last games in the series.
Ultimately, there's two schools of thought, either you're overcompensating, picking a burly long haired character in a videogame, or you're not secure with your own sexuality and are still very much a child if you created a female avatar.