I usually play female characters and go with the leaner side, usualy 1 or 2 notches from the skinniest setting. I really dislike that the heavier settings for females just make your character thicker not more muscular. We women have muscle, naturally. I know cos I have them. But Bethesda, like many other game companies, seems very scared at the idea of genuinely athletic female builds. Even for Nords and Orcs, you can't get more muscular female avatars. My female Nord was mid-weight on the scale and still looked like an air-burshed model who only ate lettuce, and my female Orc which I set at a heavier weight, looked big but her completely un-toned arms looked like they had never lifted a sword in her life.
For male avatars I usually go lean. I don't relaly like the look of a heavily muscular male body--I prefer lean and toned but if a dude's got bigger breasts than me, it's a bit of a turn-off. So it feels too weird and alien to play a Conan type build for me. If they had a husky but not excessively muscular option for male avatars, I'd probably play that.