Because you want to fuck them, which in turn makes their adventures all the more interesting due to the added sexual element.
-They're used less
-They are usually more emotional and outgoing since women tend to focus on an emotional response to things; this makes them more interesting than generic man who only reacts with the same three things; anger, pride or fear
-Men feel compelled to 'protect' a female, even when they are totally out of reach and in command of their own situation; in other words, men are not as quick to care about a male character dying, but feel something when a female dies
-They have curves which are pleasing to look at
>You will never fuck your female self that is guaranteed to be a qt