When I initially started researching Yorkies, I was convinced that I would get a female. All my animals had been female growing up, and I just never saw myself getting a leg-lifting, toy humping male.
A lot of the info I read claimed that female yorkies tend to be a lot more territorial, often choosing one human as "their person" while the little boys tend to be more laid back and get along with everyone. I spoke with one breeder who even said (jokingly) that she'd have all males if she could.
Although as some of the above posters have said, I think it's more important to go and see the dogs and pick the puppy you feel you "click" with. Their personalities differ so much from dog to dog that it's hard to generalize and a bad idea to choose a yorkie based on preconceived gender-specific qualities.
I'm happy with my little boy ... he is a love bug and he has yet to manifest the behaviors I worried about at the beginning. My mother's female German Spitz, however, LOVES to raise her leg and mark her territory and humps just about anything in sight. Go figure!