Being an action-RPG, character creation is, of course, an important part of the game. This section should, perhaps, be called 'party creation', as you not only need to worry about creating your protagonist - the Arisen - but you'll need to create your Main Pawn. For the most part,the same rules that apply to one apply to the other. Just keep in mind that the goal of this section will not just be the creation of one character on their own merits, but two characters, who will be joined by two other characters. Your gameplay preferences will determine how you should build your Arisen and Main Pawn.
Before you get to any of the numbers, vocations, or other immensely important gameplay issues, you'll have to create your character's appearance. This actually matters somewhat in Dragon's Dogma, unlike in most RPGs.
Your gender will not change too much throughout the game, everybody refers to you as "Arisen" or "Ser", and what "romances" exist in this game are largely blind to gender. Pick whatever you prefer aesthetically. There are a few slight benefits towards playing a female, however. First, there's a quest that either requires you to be female... or dress in drag to complete. Not a big deal either way. Second, there are many female-only clothes and pieces of armor in the game, which cannot be worn by male characters. Many of them are quite strong... especially considering how early you can get some of them. There are compartively few male-only pieces of equipment in the game. On the other hand, your armor/clothing isn't a big deal, so don't feel compelled to play a female based upon item considerations.
Size Matters (Kind Of...)
Another, much more important aspect of your apperance is your height and weight. According to the manual:
"How a Character's Body Type & Gender Affects Gamplay: The bigger the body, the heavier the character. Although this increases the amount the character can hold, it decreases the speed at which Stamina is restored. In addition, although the character will have a wider attack range, there is increased susceptibility to enemy attacks. The opposite holds true for characters with smaller body types. There are also instances where gender affects in-game elements as battles and storylines."
A few things that your height may affect includes your jumping distance, how easy it is for your character to get soaked, and a few areas can only be accessed by very small characters... leading to inconsequential loot. As for Stamina drain/recovery the difference between the time it took two characters - a female character with a height/weight of 186/73, and a male with a height/weight of 197.9/99 - to fully regenerate their Stamina bar was about 18 seconds. The heavier (male) character took 2:04:12 to recover his stamina meter fully, while the lighter (female) character needed only 1:46:88. Stamina consumption, however, seemed higher on the lighter character than the heavier. Either way, Stamina is easy enough to recover with items.