I always make a male and female character and give them the same name from my other games if possible (I gave them personality/backstories in my head, dont ask). And sometimes I make multiple characters from different classes, species, races, skin colors etc. and if I feel creative, their back story/bio. Helps if one is a creative person that likes to write stories.
I usually pick whatever sex looks cooler or has better animations/armor. Like in the case of FFXI the female options look a lot better and flashier than the ho-hum males.