I have a friend who doesn’t allow cross-gender roleplaying in the groups he runs. I’m not sure why.
But, here’s an interesting article on the subject: http://www.rpg.net/news+reviews/columns/play18aug04.html
I personally have played a few different female characters. In one D&D campaign I used to play Ursula Umbragia–a mother who sold her soul to a demon to save her son, and in another I played a barbarian who I modelled after Bjork and whose name was Mjath. I made up a couple of superheroines that I never actually got to play – a black cop, mother of two, who moonlighted as The Black Lantern, and a pair of shopaholic yuppie teenage twins who were also cyborgs. I’ve never played a female in Call of Cthulhu, but I have known guys who have, and gals who have played male characters. I don’t have much experience outside of those genres/systems, so that’s that. I quite enjoyed playing Umbragia because she was on this tortured quest to find some way to break the deal with Anarazel and get her soul back, as her son had since grown to maturity and abandoned her because of the demonic stigma (ingrate!). The others I didn’t invest much time or energy in, but I think I would have had a lot of fun with, like, the twins, totally.