I have both over the years and honestly don't know that I would have a preference. When I was looking to adopt last fall, I had a slight preference for a female because I wanted a smaller boxer, but then I found Dallas and he's just perfect for me - plus he's small for a male -- smaller than many females even. I would say in my experience, the females I had as a kid/teenager were a little more independent and the males seem a little needy -- they are big old whiny babies sometimes (which I think is very cute). As far as heat, unless you plan to breed, spay a female before her first heat and that issue goes away. In the end, the behavior is really going to depend on the individual dog -- you will hear that some behaviors are more typical in one than the other, but each dog is unique and might not fit the traditional stereotype of male v. female.
Good luck and keep us posted!
Mom to rescued boxers Dallas and Gracie