I'm a bit first person shooter gamer, Far Cry, Call of Duty, Halo etc. I see no sexism in the games I play themselves, but there may be sexist talk during online play from some other players. Other games may have more sexual themes that portray women as ojbects, and I think it's safe to assume that GTA would have sexism in it. From an end-user perspective though, I don't think sexism is an industry-wide issue.
If sexism does exist, it will be most likely in the gaming companies themselves, but we must remember that just because there is an extremely high proprotion of the gaming industry jobs taken up by men does not mean it's sexism. Most gamers are men, and most game designers will most likely therefore be men. I'm guessing that the number of women who enjoy playing CoD is about the same number of women who would want to design that game.