I mostly stay within my own gender, though my characters aren't generally very sexual in the first place. I play female characters occasionally, but I don't find it all that special as opposed to playing male characters.
I play my share of characters who either don't have sexual biology, or who normal, mammalian characters can't tell the differences between. I'm the go-to guy for Lizardfolk, Thri-Kreen, and Illithids, because I'm pretty good at wrapping my brain around an alien mindset.
The only character I've ever played who really played around with gender distinctions was a Doppelganger. They're naturally androgynous, but capable of taking male and female forms... and my character found this aspect of human biology and psychology interesting. It took a variety of male and female forms and tried interacting with different NPCs, and was romantically attached to a whole hell of a lot of different people of varying species, gender, and inclinations.