Male or Female??
     Well... It goes like this. Mad Hatter was going to be a girl if (s)he would have left their body alone. But NO! (S)he pumped her/his self with drugs. Know why? Mad Hatter doesn't care about gender at all. How about that? So it's not really right to refer to Mad Hatter as either a man or woman. (I simply would say "Mad Hatter" or "Belial".)

What about the clothes??
     The clothes? You mean the fact the MH wears skirts and high heels? That don't mean nothing! Any anime fan knows that cross dressing is totally normal! Besides, if we take the girl-ish approach to MH then the whole skirt and high heel thing is just fine! Still, back to the cross dressing thing, as I said before, it's normal for anime. But then again, Mad Hatter is sexless(In a manner of speaking.) So MH can wear what ever (s)he wants! ^-^

But doesn't Mad Hatter love Lucifer??
      Yeah. And who wouldn't? Lucifer is gorgeous! MH does love Lucifer because he's the only person who doesn't want her/him. Now let's take this one step at a time. If MH wwas more boy then girl then we'd be getting in some issues of yaoi. (Which is fine with me! I like yaoi!) It makes me wonder why Kurai (Even when she hears MH story about meeting Lucifer and stuff..) still refers to Mad Hatter as "That queer...??" And MH replys "Yes? this queer?" *points to self*
       Still... As that conversation countines MH says "In truth I am...an incranation of the lusts of flesh or more like a nymphomanic on top of being a libertine." The term "nymphomanic" is mostly used for women. Yeah it confussed me too. I think that this would bring us back to the first question up there. *sighs*

And so...
       And so come to your own conculsions. These are my ideas mostly and if you have other I'd love to hear them. Or if you have any hardcore info that could end all rumors, with proof or something like that, then I'd love to be your friend! ^-^ But don't flame me cause of what's been posted here. I only have graphic novels 6, 8, 10, and 11. So I'm coming up with this stuff as I've seen it and read in  translations. But if you have something constrictive to say, just e-mail me!