You know, I've never really thought about it.
I suppose I don't care all that much; I never really even started looking at gender until the third generation, and even then, things like female Mr. Mime or Machoke/champ or male Kirlia/Gardevoir served as more of a silly novelty rather than a serious deterrent. (That I've never really used any of those lines is another matter completely unrelated to gender.)
On the other hand...if I come across a pokemon that I plan on using in a given game file, it's a pokemon that I really like, and the opportunity presents itself...then yes, I'll probably go with a female. No, not because I'm sexist in any way--quite the opposite, if anything. Not because I'm some kinda pervert, either. (Although...hmm.) I just happen to like strong female characters who can kick ass.
On that note, I felt I'd mention that the three offensive powerhouses on my Soul Silver team are female; the three guys are either defensively frail in comparison, rely on tricks to win, or both, and only one of them has a battle record that even comes close to matching those of the ladies. And I simply cannot express how pleased I was when Elm handed me a female Totodile at the start of the game--quite possibly the only time I've gotten a female starter in any of the games. Now if only Oak would give me a female Charmander...
I do plan on scumming for a female Snivy in at least one of the fifth-gen games, though.