My favorite reason is seeing women in roles not explicitly written for women. Either it helps me reframe what women can be (reframing being a great reason to read stories anyway) or it points out how hilariously coded those roles are.
My second favorite reason is about playing something I am not, and examining how that changes my outlook and decisions. It’s the same reason I want to play as a robot, or an alien, or a golem, or a dwarf, or whatever else.
Lastly, but maybe most poignantly, is women tend to have more varied depictions than men. There are far too many depictions of men that are brutish, boisterous, and warlike, which I am extremely not, and usually don’t have any want to play as. Games that give you a character creator are way better in this respect, and I’m much closer to 50/50 male/female characters in those.