Character customization is on its way into Azeroth-- when Wrath of the Lich King comes around (whenever that is), we'll be able to change the way our characters look more than ever. But Blizzard still isn't interested in letting us change the most major functions of our characters-- Vaneras over on the EU forums makes it pretty clear that gender changes are never going to happen.
Gender changes are still a subject that inspires a little taboo in real-life, but actually, in World of Warcraft, it's something that a lot of players might want. Plus, while it's obvious that Blizzard wouldn't want people changing race or class (since there are actual abilities that go with both of those choices), there is no difference in the game between male and female, save for the cosmetic look. Sure, the story behind it would be a hard workaround (I'll let you imagine how that might play out, or, more likely, not), but allowing gender changes wouldn't upset the game, and would let those who feel they've made the wrong choice, err, "fix" things.
The fact is, however, that just like race and class, the gender you chose when you rolled a character have probably determined that character's existence. While changing the character's gender is just a cosmetic thing in terms of code, it's not in terms of identity, and that's what Blizzard has a problem with. The idea of a role playing game like WoW is that you choose a role to play. And if you have the option to change that role at a moment's notice, what's the point of asking you to choose in the first place?