All depends on your approach. When thinking about the story, you probably want to choose based on which gender you think can convey as of the story as possible. It could be the gender the designer connects best with, or whichever gender better portrays the character's personality.
If you think about the target audience, then you usually think about how they relate to the character. All that's I said previously can apply here, but more centered around the consumers.
The stereotypical sex-object characters are often criticized. But Samus in Metroid wearing skin-tight tights under a manly battle suit is more well-received, as is handsome Link in Zelda games, which are puzzle-adventure genre games with story mostly about other characters. It all depends on what what you want your game to aim for.