IMHO, one cannot be "proud" of anything one has not accomplished. Therefore I am not proud of my gender, although I'm glad of what I am, and I'm not proud to be American, I'm just bloody grateful that I lucked into being born here. My mom, who survived the concentration camps of WWII to get here and become an American citizen, on the other hand, can be proud to be American (although I doubt that she is).
I really find it funny, or sad, when someone is proud of their race - and I don't mean proud of what their ancestors or co-race members have accomplished, I mean proud of BEING what they are. I don't see how you can be proud of something that happened to you without you having any say about it.
Michael Jackson can be proud to be white, or a woman, though!