My long-term MMO character on SWTOR is a pink twi'lek. I once had a guy who was trying to corner me for ERP tell me that it was bold of me to play such a beautiful ethnic character.
Dude. She's pink. She has head tails. She shoots lightning out of her fingertips. She is NOT a person of color. Unless that color is PINK.
When I played FFXIV with @pax, both of our characters had dark skin, and I was regularly complaining to her about how stupid some of the costuming and lighting looked on my character, and she had much sympathy.
In a lot of MUs, though, I try to play locals. And depending on the game, this can give me tons of options for PBs or just white people. (I should probably amend this to Europeans, as I've done several historical games, and generally one wants to pick an Italian looking PB for an alternate-history Italian noble.)