When I was a kid I used to pick females because they were a novelty to see in video games, especially FGs. Most of my childhood I had to play male heroes in games so when the chance to play as a woman was available it was like "oh kewl ^____^!" As an adult I gravitate toward rushdowns and command grabbers regardless of gender, but I have an aesthetic preference for freaky/disturbed characters or characters with unique gameplay mechanics.
One of the reasons KOF initially appealed to me was the large ratio of females to males. In most FGs, especially oldschool ones, you'd have 1 female and 10+ dudes. In KOF it's almost an even split depending on the game. Not only that, they don't look like a bunch of whores. Respect.