It's all a matter of taste really. The majority of my favourite comedians are women, but I still like male comedians too.
I'm a huge fan of Victoria Wood and I have been impressed by Sarah Silverman recently. I like Jo Brand when she is doing stand up, but her 'sketch show' was poor. French and Saunders are hit and miss but I still love them and I've seen jenny Eclair live and she was great.
Male comedians I like include Billy Connolly, Danny Bhoy and Steve Coogan as Alan Partridge is fantastic. Also a fan of John Cleese and the Two Ronnies.