I don't think one is better than the other. They each have their own pros and cons.
Males (bucks) then to be cheaper to neuter, but the behaviours of an intact buck can be worse. They tend to spray and hump more. An intact male might do 'love dances' around you as he is basically wanting to mate with you.
Females (does) are more expensive to spay and it is a more invasive procedure. Intact females can spray, but can also be territorial and hump. They also have a higher instance of reproductive cancer, so it is a very good idea to get them spayed if you are not breeding.
I don't really find one easier to train (litter or agility) than the other. Most of mine have been easy to litter train and the 1 that wasn't was about 4 when I got her. Both are affectionate, but some individuals may be more or less than others. 5 of the 7 rabbits I have had have been females, but that is just the way it worked out. Given the choice, my next rabbit will probably be a male.
Once spayed or neutered, there is little difference. You mat get some behaviours that are more one sex than the other, but they don't get the extremes like an intact rabbit would. For example, you might get some territory marking (especially if there is another rabbit around), but probably won't get the spraying.
Since this is your first rabbit, don't get hung up on the sex. Find a rabbit you like, or a breeder that you want to work with and go form there. If you go to a rescue, just visit with the rabbits and find one that you like and go form there.