Well - everybody knows difference between males and females, right? But we are talking about differeces in game.
Males start with the base statiscics shown in the manual. But Females get bonus -2 to Strength, +1 to Personality and +1 to Karma.
Given above it is wise to choose gender for each player according to which class they will start with. Remember that if you want to start with Valkyrie (or change profession to Valkyrie later) you MUST choose female.
Certain items can be used only by females - mostly bras and skirts (ok. there is one item, which could be worn only by male - Cameo Locket, but it's only available when you import save from Wizardry 6, where you killed Bela - or when you edit savegame file).