Female headers are easy to plug breadboard wires into, thus good for beginners. However, if you want to eliminate the breadboard, you usally end up having to build a shield.
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Male headers are good for servos, sensors, and other related robotics peripherals that usually come with female headers. It's also a lot easier to work when power buses are easily accessible - with a 1x3 pin female cable, you get all the parts needed for data and power in one piece. Try hooking up a servo on an Arduino - the three wires go almost randomly onto the board.