A recent study by Ramona Scotland (just published) is described on a recent edition of Healthcheck (listen here). The study did involve animals but points clearly to significant gender differences – females have stronger immune systems which means they become less ill and recover faster. There is a downside because women are also more susceptible to more autoimmune diseases because their immune systems are more sensitive.
Such differences are important because most research is conducted using men and the assumption is made that the findings apply to all people. For example if a drug is tested on men it may not function in the same way with women.