Like pointed out in the comments, you can use ENUM
like so:
gender ENUM('F','M') NOT NULL
However, you have to be careful as this will still accept the empty string too (although you'll get a warning for that):
mysql> create table t (g enum('M','F') not null);
Query OK, 0 rows affected (0.12 sec)
mysql> insert into t values ('M');
Query OK, 1 row affected (0.00 sec)
mysql> insert into t values ('');
Query OK, 1 row affected, 1 warning (0.00 sec)
mysql> show warnings;
+---------+------+----------------------------------------+
| Level | Code | Message |
+---------+------+----------------------------------------+
| Warning | 1265 | Data truncated for column 'g' at row 1 |
+---------+------+----------------------------------------+
1 row in set (0.00 sec)
mysql> select * from t;
+---+
| g |
+---+
| M |
| |
+---+
2 rows in set (0.00 sec)
To ensure this does not happen, you could consider setting the sql_mode
(http://dev.mysql.com/doc/refman/5.5/en/server-sql-mode.html) to a more restrictive value:
mysql> set sql_mode = strict_all_tables;
Query OK, 0 rows affected (0.00 sec)
mysql> insert into t values ('');
ERROR 1265 (01000): Data truncated for column 'g' at row 1
However, you should investigate if this is a suitable option for you. Many existing applications (wordpress etc) don't like messing with the sql_mode so if your code is a plugin to those systems you want to avoid setting it.
You can choose to set the sql_mode server wide or session wide; The first option would be more robust, but requires configuring MySQL in a non default way, and is likely to affect other applications. Setting at the session level immediately after you open the connection should work just fine, but will clutter your application code. Pick your poison.
ypercube's suggestion to use a foreign key is also good, and is more portable to other RDBMSes than ENUM. However, you'll have to ensure your tables are both managed by the InnoDB engine. This is becoming more and more the standard so it's not a bad choice.
(if you're really paranoid, you should really ensure that the application only has read access to the gender reference table)