Apparently there are some advantages of playing as a woman over a man. In the first two games, female characters run faster in certain types of armor. Also, in Fallout 2, you can charge men to have sex with you, whereas if you are a man you have to pay a prostitute for sex. Also, if you take the sex appeal perk as a woman, you can get lower prices from the many male merchants. Fallout 3 gives female characters the black widow perk.
I have played the games many times as both a man and a woman. My most recent playthroughs of the first two games were a male burst fire sharpshooter using big guns and a female sniper switching to energy weapons, in other words I have a different way of playing for each gender. Currently I'm doing the same for Fallout 3. My male character is a sharpshooter who focused on dealing high damage withough relying on stealth. Currently, I'm playing as a female character who is being built as a stealthy assassin. Already she has the perforator, silent running, and the chinese stealth armor. The only other differences is that she'll be taking both silent running and ninja instead of finesse.