I'd want someone like Jimmy. (God, even if it was just a rehash with Jimmy in it, I'd still get it). Someone who's not a dick, but isn't afraid to knock someone out if they cross the line. Like Jimmy said, he only gives people what's coming to them. That's the sort of protagonist I'd want, not a psycho and not a wimp either.
I think being able to pick genders would be kinda interesting. However, I wouldn't want it to be like Saints Row where the story has to be pretty much gender neutral; a lot of the richness that you see in Rockstar's storylines would probably be lost.