They’ve done studies on this very question. I’ll give you the abridged version of the results. There definitely are girls that love the first-person shooters and violent games, so much so that they pwn the guys they play with.
As a generality, though, girls tend to like the less violent games. Building and puzzle-like games are the most popular.
As for myself, I tend to not like the FPS games, they’re just too nerve-wracking, I’m not good at the controller, and it requires too much action and not enough thinking for my tastes. The one exception was Call of Duty 2, which I played to the end and have recently kind of wanted to play again. Games that I have played practically to the point of wearing out: Thief: Deadly Shadows, Rise of Nations (and x-pack), Elder Scrolls: Oblivion, Diablo 2, Starcraft, and Warcraft. I like the Sims, but it only holds my interest for so long and eventually I get bored and never play it again.