Gender is mostly irrelevant in Crawl, but does appear in a few minor cases.
Player gender is entirely irrelevant, and the game does not even allow the player to specify one. Should you wish your character to be explicitly gendered for (non-gameplay) role-playing purposes, choose a name that best expresses your intent. Note that this can be a problem on public servers, where all characters of a particular player have the same name.
For the most part, monsters are gender neutral, merely being referred to as 'it'. This includes humanoid monsters that would normally have an explicit gender, such as humans and elves. A few monsters are established as male or female, most notably unique monsters and those that are gendered in their source mythology such as sphinxes, harpies, mermaids, sirens, and water nymphs.
Monster gender is purely cosmetic; there are no gameplay effects of any sort.
By convention, Crawl's gods are ungendered. Rather, every message and description about the gods is meticulously constructed to avoid using any personal pronouns, leaving their genders a matter of complete ambiguity. In fact, a message referring to an explicit gender for a god would be considered a bug by the developers.
That being said, in common conversation among players the gods are often given genders, if only for convenience. Most notably, Lugonu is invariably referred to as female. This dates back to her first introduction, where her working title was in fact Lucy. Other gods that are frequently referred to as female include Sif Muna and Elyvilon; most others are generally referred to as male by players.