I will restate that the way to sell a character is to have to world react to the character like they are what the player would like them to be. If the player wants the character to be female, s/he playes the character however s/he sees fit, and the rest of the players (GM included) roleplay the rest of the world reacting to the character as if she were female. Stereotypes are poor characterization, and do a poor job of selling a role because we inherently know how innacurate stereotypes are. We often just don't buy it when people play to them. Most intelligent people know that people are not stereotypes, and usually only act like that when they try to. If a character has a motivation to portray themselves as a stereotype (say a female thief who wants to put off the image of a ditzy damsel in distress to in an effort to lower the defenses of her marks, or the braggart gambler who is setting his opponents up to think that he can't really play), then playing to that stereotype is fun. Otherwise, it just seems shallow.
Many people don't get this concept. Many people play characters badly. That is no reason to ban them from playing the character that they want to. If their play sucks, help them to improve it. Help them to sell themselves. Call them on their poor stereotypes, and help them to portray believable characters. Commit to making them cool and your games will only get better.