Personality wise, my male is so much sweeter than my female. Both are sweet, but he is a cuddly one. My friend's mother's yorkie is a male and he is horribly mean. Tries to bite everyone but the mother.
Females, unless you get them spayed, you have to mess with the heat cycles. This can get messy and gross if you don't put a diaper on them. Males have the hike up the leg and pee on their hair thing. This is why I bathe my yorkie at least every 4-5 days because I cannot stand the smell of old piss.
It's really up to you. My male has never marked in the house till yesterday when a friend brought her female over and her female was also trying to mark everything in my house. Well he found a spot and squirted all over it.
But I guess that females can be just as bad as males in a new environment.