I agree with not buying at the pet stores. I have three adopted iguanas and would not trade any of them for some of the store bought ones I have seen.
While the store does not encourage people buying an iguana I have to wonder why they are selling them in the first place then
As far as male vs. female, I have one male and two females, in my experience with them the males tend to get much prettier but (and again this is my own experience) the price paid is that the male is more aggressive and messier then the females. He is not always aggressive and I can control his temps a bit so he is not in season for as long but he is messier when he eats and can and does get back at me if food is a little later then normal or something by pooping where he wants and then dragging it around as he walks thru it. He is a character. My females are very neat while eating and are trained to go in the bathtub which is nice for me with clean up duty.
Also the females do not seem to be as color aggressive. Around Miggs (the male, and yes the name is from "silence of the lambs") certain colors I wear or patterns can set him off, I do not find this with the females as much. They are time consuming, but for me can bring lots of pleasure and laughs. They are not animals I recommend but if you are willing to take the time, get to know and handle (handling should be an everyday routine) and understand that one must always be careful (up to 120 small razor sharp teeth at any given time) not to mention the tail and nails then this can be a wonderful pet.
Good luck, please do tons of research and just check out the adoption places in your area before making your final decision.