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As long as we only look at humans the differences are clear: males have chromosomes XY, produce sperm and don't get pregnant. Females have chromosomes XX, produce egg cells and bear babies. But when you consider other species, things are more complicated: in birds, it's females who carry the Y chromosomes. In pipefish and sea horses, it's the males who get pregnant. So maybe the only reliable criterion to tell if an animal is a male or a female is looking at its reproductive cells, and decide if they look like spermatozoa or egg cells. But then there are male and female plants, where none of the methods above applies.

So how do you tell, in general, who's male and who's female in a species? Or is the distinction arbitrary?

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Sexes (male and female) are generally defined in terms of Anisogamy, which means that there are size differences between the gametes (i.e. the reproductive cells that fuse at fertilization). The sex with smaller gametes is defined as male and the sex with larger gametes is defined as female (individuals that can produce both types of gametes are called hermaphrodites). This is the case in both animals and plants (plants have pollen vs. ovules and microsporangia vs. megasporangia), and the definition of sexes is therefore not dependent on chromosomal makeup as such or which sex that carries the young. Actual sex determiniation in a particular species is often based on chromosomal inheritance though, but other systems also exists (e.g. environmental cues or sequential hermaphroditism). Anisogamy also comes in several different types, where animals generally have Oogamy, where males have small mobile spermatozoa and females large stationary egg cells.

More generally, Anisogamy is a special case of mating types in sexually reproducing organisms. In for instance fungi, gametes of different mating types are of the same size (isogamous) and they are therefore only labelled as mating types (e.g +/-) and not different sexes. Functionally, if we are simplifying the issue, male gametes can be viewed only as carriers of genetic information, while female gametes also contain the nutrients necessary for the early development of a newly formed embryo.

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    $\begingroup$ Interesting and a nice read. +1 $\endgroup$ – AliceD Mar 19 '15 at 12:04
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In general, It's pretty much the reproductive cells with plants and animals. The male's unique cells (sperm, pollen) fertilizes the female's unique cells (egg, ovule). The resulting offspring develops and hatches from within the female's egg/ovule. Now whether that egg/ovule stays put, gets ejected, hides in a flower, or transferred to the male (like your seahorses)... that's just rearranging the furniture after it's been designed.

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