To be completely honest, I'm a huge nerd who loves monsters and creatures of all types. So getting to play as one is always something I look forward to.
That said, I've never played any of the PMD games, so I just show up to play as a Pokemon without actually caring for the setting much. One of my most fun characters to play was a Flygon in a PMD game, but since I didn't know the world, he was never in a group, and just kinda flew around trying to help out.
I'd say it would be fun to play as a Pokemon in a regular setting, but then trainers would try to catch you all the time. (Unless you were already owned, of course. I was in a game like that once. The GM was a trainer, six players were his Pokemon. It was fun, but sadly didn't last long.)