With my boy Iccarus, he's a cuddle-bug when he's out with me. But when he's down on the ground, then the whole world is his play-toy and he won't relax for nothing. He's very docile with my daughter too. All the females I've had have been... :silent: (Ahem) and not friendly at all with my daughter.
So personally I would recommend a male before a female, but that's just me, and the luck of the draw that I've gotten with beardies. Your luck could be completely different.
Only con I can think of for either sex is when the horomones come into play. For females it's the egg laying, and for males it's the brooding and black-bearding. For me, I'll take the brooding and black-bearding over the egg laying.