It has been suggested that girls prefer the abstract game. Sonic the Hedgehog, Pac Man, Animal Crossing, Tetris, those kinds of game. Where the pace is a little less frenetic, and there is more emphasis on puzzle solving than knowing ten ways to stealthily kill a soldier.
There are also those girls who take it all in the same way as their male counterparts, and love it. You can find them at http://www.womengamers.com/ http://www.gamegirlz.com and http://www.gamegirladvance.com .
As a side note, those games which appeal to both sexes, and are designed as such, do not usually sell widely to both sexes. A game that is focussed on the male gamer (with cars, sex or guns, and preferable a mixture) will sell more units than one aimed at both male and female gamers; the female gamers do not make up for the alienation of those male gamers not excited by the game.
The Industry
The cost of making a game is proportional to the inventiveness of the idea; if nobody has ever done it before, there is no residual talent, and it will take a long time, and hence be rather expensive.
Then again, if it is based on licensed technology bought in from another studio, then it will also be quite expensive. Small, technologically simple games, such as Tetris, Pac Man and so on are, these days at least, reasonably inexpensive to design and build.
Traditionally, creating a commercial game, of the expensive kind, takes a studio and a publisher, and possibly even a distributor. The studio creates the game, with money lent by the publisher, who then distributes the finished product and pays royalties to the studio.
This model changes if the studio self-publishes, via a shareware or electronic distribution. There is also the possibility to acquire funding via a smaller, entry product, or a third party.
It is not easy. Having a good idea, and being able to create a workable plan and perhaps even a demonstration product will help to persuade an investor (publisher or otherwise) but is no guarantee of success.
Publishers tend to stick to a genre (or market) that they know well, and not explore other avenues. Hence, choosing the right one to approach is key, as is knowing what they have done before.