From my experience, of have about 30 cats come and go over the past 5 years... I would say that males are less trouble than females.
If you intend on getting only one cat, females are fine. But if there is more than one cat in the house, then the females will tend to be more moody, and territorial. Any males that I have ever had have never fought, or harrassed each other of any of the females. They have been more laid back, more affectionate and easier to deal with.
If you do get a male, make sure you get him fixed at an early age, or there is a good chance that will spray your furniture.
females are ok if you get them young and love them a lot.
I agree with the idea of getting more than one of anything. If you have one, it will bond with you the most. If you have two, they will bond with each other and you will be secondary... but I think this is a more natural thing. If you do get more then one, try to get them young and at the same time.
As far as which gender will be more affectionate... while some breeds are known to be more affectionate (Russian Blue, tabby) and others are known to be more aloof (Himalayan, Egyptian Mau) remember that the only hard and fast rule to that theory is that ... It is a crap shoot. You can never tell what a cat will be like once you get it home. But the more you love on it for the longer amount of time, on it's terms... the more it should grow to like it.