I play as a female now, but my first character was a dude because I had Claude from the CE.
I chose to play as a girl the second time after loosing my first character to grant a different experience and I don't regret it at all, and I worked hard to make her look good.
I played as both genders in GTAIV as well, and I do prefer looking at a woman instead of a man, so yeah, even if I like men. There are no perks as people say to playing as a female, except for receiving rides to destinations during missions when you lack a vehicle. 95% of the time players will offer me a ride.
I still get killed in free roam though, but I'm not trying to use my in-game gender to my advantage. I just find it awesome that cutscenes change for the woman, granting me a different experience than my friends.
-Taller than everyone when in heels, which cracks me up
-Proud that I actually made her good-looking since players seem to have a hard time making a good looking female character
And rolling up on some dude in a pink Sandking XL while wearing white booty shorts is golden. Wish I could see the reaction on their faces.