I've played female characters for just about every second campaign I've played in, and fairly successfully, I think. The key, for me, is primarily in the two things that have been said above about just trying to play a person and not letting the sexuality become the overriding aspect of the character, and basing the character on someone real I know or at least know of.
Also, a third thing I don't think I've seen mentioned, or at least not this way: Subtle feminization of equipment and class choices when possible. In other words, if I'm playing a male fighter, I'm more likely to want a sword that is well-statted and NASTY looking, whereas with a female, I'm usually going to go for the one that is well-statted and beautiful. Maybe wickedly beautiful, but beautiful. A female is more likely to be mindful of the fact that she IS of the (typically) strength-inferior sex (much like I would think ANY Halfling would be mindful of, race-wise) and carry a hidden, hold-out weapon - thigh-strapped dagger, or some such.
Depending on the particular female used to model on, she may be very inclined towards prestige classes that require you to be female (Swanmay, for example) or very turned off by those groups attitudes toward her male friends, or maybe very inclined to try to go after classes or situations typically reserved for males, out of spite or righteousness. I know that's pretty much the whole range, but once again, it comes down to roleplay - think her up from being a little girl, and you'll know which she would pick, and why.
As for whomever suggested that women will say "Nothing" or go off about something completely different when they're angry and asked what's wrong, a few things: 1. I've seen men do this, too - even realized I was doing it, myself, on occasion. 2. Just as we like to play idealized men when we play, we probably don't usually want to play women, or anyone for that matter, who behaves that way on a regular basis - although the occasional occurance might be appropriate. 3. An aside - If the person you are basing this statement on happens to be a spouse or girlfriend, and they're doing it way too often, DON'T LET HER GET AWAY WITH IT. Be ultra-reasonable and caring, but drive home that that is what she is doing, and try to "train" her out of doing it, at least with you, if not period. It's bad for her, because its a sign that she thinks what she's really upset about isn't important enough to talk about (either to you, to her, or both) and she needs to be able to express herself and focus to keep a healthy relationship and clear the air, and be told it IS important to you. It's bad for you, and you already know why.
And, ladies, I'm not being sexist with this bit of (first-hand witnessed on several occasions) homebrew psychology - if your significant other is doing this, male or otherwise, ditto.
Amongst my most memorable female characters, I've played a rowdy 4ft 10in Blue skinned Noble in one of our Star Wars campaigns, whom I based on a girl who used to like to beat up guys who would pick on me in High School. (Not kidding.) She worked out pretty well in the game. <g>
In a campaign we're currently running, although its on a loooong pause right now, I'm running a female Halfling Half-Celestial Wizard who is loosely based on CNN Headline News' Rudi Bakhtiar.