The Guardian (UK, 2008) reports that children learning the harp and flute are overwhelmingly female (90% and 89%, respectively) while those studying guitar and drums are disproportionately male (81% and 75%). The survey of UK music programs, by Hallam, Rogers and Creech, was first published for analysis of minority participation in music programs in 2005, according to a press release (Institute of Education, University of London, 2008).* According to the press release, some instruments do not have gender baggage: "similar proportions of boys and girls in England play the cornet, French horn, saxophone, tenor horn and African drums."
When I was five or six, my mother gave me a mandolin with the phrase "I thought this would be a good instrument for a little girl." That's sort of weird, now that I think about it, but I was a pretty, pretty princess, so that sort of thing was important to me at the time. I had the mandolin until college, but I never learned to play it. I took a few weeks of lessons right away and lost interest. The clarinet ran a very similar course, but my mother was smarter that time and rented it.
*Neither the original study ("Survey of Local Authority Music Services" 2005) or the new analysis of the old data ("Gender differences in musical instrument choice" 2008) seem to have online materials available. sorry.