Well, I wouldn't like having periods. Pregnancy wouldn't be a problem, as I'd be lesbian. What I'd love the most: Having boobs, which I'd grope constantly, and having to use the girls' locker room.
On a serious note, though, it's something I find interesting. If you changed sex, would it change your sexual preferences, too? How much can you actually change physically regarding sex? I like pondering existential questions like these.