The characters of PSO are divided first into three main categories:
Hunters are the easiest characters to begin with, they have high HP and the best attack power of all characters, and excell with close range weapons. If you want to do lots of damage close range, hunters are your characters of choice.
Rangers are intermediate skill level characters, they have the best HP of all characters and the best accuracy, excelling in long range combat. If you want to snipe off your opponents from a distance, Rangers will suit your fighting style.
Forces are geared towards advanced players. They have low physical abilities, but their mental stats are the highest of all classes, and their magic is over twice as powerful. If you like magic and/or supporting other players, forces fit your bill.
Then, there are three types of characters within the classes:
Humans are the basic all around balanced character, they have good attack power and magical skills, not excelling or failing in any particular area.
Newmans are humans mixed with feline DNA, they are similar in skill to humans, but generally have increased mental abilities and decreased physical abilities.
Androids are physical powerhouses, they have greater abilities with weapons than the other character types. In addition, they have the ability to see traps that have been set in various spots around the areas, and they can set traps of their own in Ultimate mode. The payback for this is they cannot use magic.
Male vs Female?
The differences between male and female characters aren't huge, but the two genders are different (besides just appearance). Male characters tend to be more oriented towards physical stats, particularly HP and ATP, while females are more oriented towards mental stats (MST and TP). Also the magic casting animations are different for male and female characters. The only point of this that really matters besides style, is that male characters can cast magic very fast when they don't use a weapon, whereas females cast more rapidly with one equipped.
Each character has their basic stats divided into the following categories:
HP, or health points (some may call them hit points) are your health meter. The more HP you have, the more damage you can take without dieing. The meter is shown as a current/total number of HP.
TP, or technique points, are your magic meter. The more TP you have, the more magic you can cast before you need to refill your meter with a health item. The meter is shown as a current/total number of TP.
All of the following stats are shown as current (the number outside of parentheses) and base (the number inside parentheses). The current stat is based on such things as currently equipped weapons and armour, and the base is your stat withought any equipped items, except for mags.
ATP is your physical attack power. The more ATP you have, the more damage your weapons will do.
DFP is your physical defense. The higher your DFP, the more likely you will be able to block attacks from enemies, taking no damage.
MST is your overall magical skill, the more MST you have, the more damage your magic will do to enemies, and the more effective your ability to heal with magic will become.
ATA is your accuracy with weapons. The more ATA you have, the less often your attacks will miss.
EVP is your attack evasion. The more EVP you have, the more likely you will be able to dodge enemy attacks.
LCK is your luck. A common misconception is that luck increases your chances of finding rare items. This isn't true, all luck does is as it increases, your chances of scoring a critical hit with weapons increase. (A critical hit does roughly twice as much damage as a normal hit.)
Whew! That's all the basic stats. One final note, when a stat becomes yellow inside the parentheses, that means it's maxed. All characters max at 100 LCK, the other stats depend greatly on your character class.