Ha. I once gamed in a group where I was the only male (and I was DM!). That group was a lot of fun, but they *really* wanted to play in a world where "women were supposed to stay home and look after the kids" so that it was more impressive when their characters broke from their culturally-defined roles (I think it was grade 9... every girl was a feminist!). Fun group, that.
Beyond that, I never really noticed a difference in gaming styles. I've had players who were most interested in role-playing (one of the most interesting characters I've ran a game for was a female human druid/ranger with a fey bloodline), killing stuff, and even dealing with puzzles. ABout the only "generalization" about female gamers I've ever picked up was that a) they generally don't "optimize" characters as readily as male gamers and b) In my experience, they aren't as tactical.
That being said, I remember a game we were playing with my friend Wendy (who was introduced to the game by her boyfriend, but became quite addicted and played independantly of him, including participating in the "all girl" group). The group had been given a map to find a cabal of mages that had gotten trapped in the woods while a bunch of gibberlings were doing their "Thang". So, the group manages to use the map to figure out where the mages were, but are promptly stuck in the woods, surrounded by gibberlings. They had no idea how to escape, until Wendy (then only a "newb" - I think it was her second game) pipes up "You know, we have a map. We can use it to get OUT of here just as easily as getting IN". The rest of the players had forgotten all about the map the second it had served it's primary purpose. Wendy's quick-thinking probably saved the group.
Kinda miss her, actually.
Right now, our only female player at the table is a "happy to be here" character that, sadly, doesn't really contribute much to the group, unless there's a trap in the way.