For binary data, your options are:
- single check box (typically for on/off)
- 2 radio buttons
- drop down
Any may be valid for a particular use. When there are only two options, however, I'd normally suggest you stick with radio buttons rather than forcing a user to use a drop down for just 2 options.
All that said, note that gender, while traditionally thought of as a binary value, is now considered by many to be anything but.
For example, Facbook now offers over 50 gender options: http://www.slate.com/blogs/lexicon_valley/2014/02/21/gender_facebook_now_has_56_categories_to_choose_from_including_cisgender.html
So do think about how important it is to collect gender data in the first place, and then decide if you truly need it to be binary.