There are a lot fewer female minifigs than male minifigs in the universe. On several occasions they have been almost extinct. The reason for this is unknown.
There are few physical differences between females and males, but females occasionally have eyelashes, red lips or strange torso patterns. The greatest difference is one of mentality, though. In many civilizations, women are forbidden or unwilling to Do Stuff. This has led to such an association between males and Doing Stuff that Doing Stuff has become known as "manliness".
A notable exception from this are the Pirate women, who have always been Doing lots of cool Stuff. Pirate women who refuse to Do Stuff are thrown to the sharks.