Each character starts off with 2 skills, which are determined by class and gender (see
Character and Stats). Other than that, gender determines the character's voice and very little else (1 or 2 minor dialogs are different between genders). The skills themselves don't depend on gender, just which ones you start with.
See also;
differences between classes (minor spoilers)
or
Early Starter Tips (NON-Spoiler Version) (contains much of the information in the above topic)
