Answer:
   
   First, note that in some Orthodox prayer rites, the blessings are
   phrased differently. For example, in the Italian Rite (nusach Italki):
     * "...shelo asani goy" (who did not create me a non-Jew) becomes
       "...she-asani Yisrael" (who made me a Jew)
     * "...shelo asani eved" (who did not make me a slave) becomes
       "...she-asani ben-chorin" (who made me a freeman)
     * "...shelo asani isha" (who did not make me a woman) becomes
       "...she-asani gaver" (who made me a man/gentleman)
       
   However, in many common rites, Orthodox men do bless G-d for not
   making them a women. However, there is a reason for doing this, and
   the reason is consistant with the Orthodox attitude towards life. It
   might not fit with today's egalitarian notions, but Orthodoxy does not
   claim to be egalitarian.
   
   First, recall (as was mentioned in Section [5]8.4) that Orthodox Jews
   think in terms of obligations and duties. In the Orthodox context,
   being obligated to do more duties (mitzvot) is "a good thing", for it
   provides one the opportunity to better fulfill G-d's desires.
   
   With that in mind, consider the blessings said every morning by
   Orthodox Jewish men. Among these blessings are three that go "Blessed
   art You, L-rd our G-d, King of the Universe, who has not made me a
   ...", where "..." is "gentile" (non-Jew),"slave","woman", in that
   order.
   
   Go back to the original reference in the Talmud (Berachos 60b). The
   sequence of three "who has not made me a" blessings was originally
   proposed by one rabbi as gentile/idiot/woman. The other rabbis could
   not comprehend this. It made no sense. And then it was noticed that if
   "idiot" was replaced with "slave", the three blessings fit into a neat
   logical pattern, with the blessings carrying a progression of greater
   yoke of commandments (obligations, duties). It is for the chance to do
   more mitzvos than gentiles/slaves/women that Orthodox men bless G-d
   every morning.
   
   Is this upsetting? Orthodox Jews have a very hard time comprehending
   why anyone would react. After all, men are men, women are women, and
   if the men happen to be glad that they are not women, what of it?
   
   Is this derogatory? What makes you think any mention of differences
   between men and women is secret code for "men good, women bad"? It
   just isn't so, and 2000 years of language/culture/social change have
   given never-intended meanings to innumerable phrases. The above
   misreading of the blessing is one such. Note that if derogatory intent
   were meant, nothing would have prevented it from being expressed. And
   no one would have changed "idiot".
   
   Basically, these blessings can be viewed as thanking G-d for
   obligating the observance of so many mitzvot.
   
   Does Orthodox Judaism think men are superior because they have more
   obligations? Rabbi Aharon Soloveichik, one of Orthodox Judaism's
   foremost halachic authorities, addresses this question in his book
   Logic of the Heart, Logic of the Mind. His key points are:
    1. Whatever is superior was created later. In the human species, the
       female gender was created later, showing that women have innate
       spiritual advantages as compared with men. The question then
       becomes: what is the nature of those advantages?
    2. The gifts that G-d gave to humanity are two: "One blessing is the
       gift of conquest, of power and of grasping (in Hebrew: "kibbush").
       The other is the gift of cultivation, of work and dedication and
       of reaching unto things and people through love, consideration,
       and guidance ("chazakah"). We can attain great heights through
       kibbush, but we can't succeed in establishing a Paradise on earth
       unless we couple it with chazakah.
       The gift of kibbush was bestowed upon men, and to be exercised by
       the males of the eleven tribes excluding Levi. The mandate of the
       woman is that of chazakah.
    3. He goes on to describe why women are exempted from obligatory
       mitzvos created by a time element, from Torah study, and the
       meaning of the morning blessing.
       G-d imposed more mitzvos upon men to limit their natural
       predisposition towards excessive and abusive kibbush. If not
       tempered, this abundance of male energy can be destructive.
       Women don't need such restrictions. As per the brachah (blessing)
       that they recite: "She'asani kirtzono -- Who has made me according
       to His will." Women's innate qualities as the last created
       creature (Rabbi Soloveichik words this as "the crown of
       Creation"), are already aimed at the fulfillment of G-d's ultimate
       desire for mankind. What is that desire? In the time of the
       Messiah, there will be no pursuit of kibbush, rather everyone will
       pursue the gift of chazakah. So women's Divine endowment and her
       mandate to be true to that endowment is consonant with humanity's
       spiritual and moral goals in the Messianic Era.