Storing sex (gender) in database

I'd call the column "gender".

Data Type   Bytes Taken          Number/Range of Values
------------------------------------------------
TinyINT     1                    255 (zero to 255)
INT         4            -       2,147,483,648 to 2,147,483,647
BIT         1 (2 if 9+ columns)  2 (0 and 1)
CHAR(1)     1                    26 if case insensitive, 52 otherwise

The BIT data type can be ruled out because it only supports two possible genders which is inadequate. While INT supports more than two options, it takes 4 bytes -- performance will be better with a smaller/more narrow data type.

CHAR(1) has the edge over TinyINT - both take the same number of bytes, but CHAR provides a more narrow number of values. Using CHAR(1) would make using "m", "f",etc natural keys, vs the use of numeric data which are referred to as surrogate/artificial keys. CHAR(1) is also supported on any database, should there be a need to port.

Conclusion

I would use Option 2: CHAR(1).

Addendum

An index on the gender column likely would not help because there's no value in an index on a low cardinality column. Meaning, there's not enough variety in the values for the index to provide any value.

There is already an ISO standard for this; no need to invent your own scheme:

http://en.wikipedia.org/wiki/ISO_5218

Per the standard, the column should be called "Sex" and the 'closest' data type would be tinyint with a CHECK constraint or lookup table as appropriate.