I wouldn't like to be a character in one of my books!
I enjoy it too much - even if I knew I'd never get a book published, I would still write. I enjoy the experience of getting thoughts and ideas and plots and characters organised into this narrative framework.
Most mainstream male fiction is littered with heroines, and female characters are basically so great, you want to fall in love with them.
You get so caught up in what you're writing - action sequences tend to do that more than anything else because you're living it, and feeling for your characters.