Using a female physician avoids problems with tzniut (modesty) and yichud (being alone in a room with a man). However, your comfort and your confidence in the care you are receiving take precedence, and you may choose to go to a male doctor if he is a better doctor.
The problem of yichud can be solved either by bringing your mother, friend or husband to the appointment, or by having a nurse or secretary present in the room. If a nurse or secretary routinely enters the room without knocking, there is no yichud problem.