Like IanPolaris, I am also a male who prefers to play female characters. I find the game more involving that way - I prefer the friendship over romance with Morrigan, and I think the Alistair romance works better than friendship, particularly if you aren't a human noble as it adds an element of tragedy to the tale. If you aren't a human noble and in love with Alistair, you have to balance your own feelings with the future of Ferelden (and love is, as Wynne states, ultimately selfish). Even if you aren't meta-gaming, your character can suspect that, should Ali be made king, he couldn't marry an elf/dwarf/mage, regardless of his wishes.
Morrigan I think works better as a friend. I just feel she's slightly more genuine, less manipulative, and less jumping into your tent. She still manipulates, of course, and she's never really completely genuine. But I think the dynamic of Morrigan forming an attachment to someone she perceives as another strong, independent woman makes a lot of sense, for someone whose never had a friend. She comments as such after you defeat Flemeth. My (male) friend who played a MHN first and romanced Morrigan was appalled by her end-game ritual-deal because he felt she'd just been manipulating him the whole game and never really gave a **** for him. For me it seemed, while naturally selfish and manipulative, also as if she was genuinely (slightly) concerned that her one and only friend was about to die an utterly pointless death (in her eyes - what's the point in glory if you can't bask in it?). Either way, I think the dynamic of the ritual changes immensely if you are being asked to do it, or to convince someone else to.
I have yet to romance Zevran (or Leliana) as a guy, but Zevran's romance as a woman is well-developed, and he's pretty-much the only character who will accompany you post end-game regardless of romantic options or where you go. Leliana is a bit too sweet and needy for my tastes.
Why did this turn into a post about romances? Surely M/F impacts the game in other ways!
Let's face it, I do it mainly for Sten's 'I don't understand, you look like a woman' dialogue'.
In general though, I think it depends a lot on the Origin. I defintely think both City and Dalish elves are deeper if you play a female character (YMMV), as does the Mage origin (which seems to contain nothing extra for male characters as compared to female). Human Noble I tend to think works better as a male. Dwarf Commoner female for me. Dwarf Noble is divided, on the one hand you have the illegitimate child, on the other the romance with Gorim (the default game assumes male, though, if you aren't the DN). These are, of course, my personal opinions.