There really isn't any benefit to choosing to be male or female, with one exception. Dryads can only be female, and half-giants can only be male. Other than that, it is up to your personal preference, if you wish to be one or the other.

There are four races to choose from. These are:

Human
Considered by some to be the jack-of-all-trades, considered by others to be incredibly boring. We're already human in real life - why role play a human in a fantasy world? It's all up to you, of course. Personally I like to play a human because it helps me to project what I "could be" in a very real sense. I do also like to play other races, for variety. If you play a human, you get the most even playing field from which to choose whichever style of gameplay fancies your interests. You don't get any instant stat bonusses - but you don't start with penalties, either.

Elven
After the success of the Lord of the Rings series it's no surprise that many people long to be elves :) They are long lived, very intelligent, very graceful. They make great archers. They aren't as strong as the other races, but if you're looking for a Legolas or Galadriel type character, here you go.

Dryad
I wish they let you have male and female dryads; I really like this type of character. Sort of a combination of nature-magic druid with a bit of ranger thrown in, dryads are green and independent.

Half-Giant
Ditto on the gender thing here, why only have brawny men? Why not let brawny women be around, too? Half giants are gentle giants - with a strong physical body but with a tender inner soul. Great match for fighters, poor match for magic-use.

Dungeon Siege 2 Walkthrough