If it's small and cute, I think it's female. XD Mew, Celebi, the Lake Guardians... the exception is Shaymin, who I think of like a five-year-old boy. Latias and Palkia are female; Latios, Dialga, Darkrai, and Mewtwo are male... Most of the rest are male, don't feel like going through them individually to list them all.
I've got a weird theory, though, that Mewtwo doesn't necessarily sound male because he IS, but because that's what he wants humans to hear. (Notice, this doesn't actually stop me from referring to him as "him," heh.) Since he's "talking" in a telepathic voice all the time, it probably makes no difference to him what he "sounds" like, so he might change his voice to suit the mind of whomever he's "speaking" to. Since he's generally anti-human and wants to seem threatening to them, he could adopt a deep tough male voice when speaking to humans because it makes him sound more threatening than if he decided to make his voice sound like, say, Britney Spears. The tough male voice may be a conscious decision on his part. (As for scenes when he speaks to Pokémon but still uses the human language... translation for the human moviegoing audience's benefit, naturally. :P)
Which, I guess, could apply to all psychics whose only voice is their telepathic one. Who knows what they "really" sound like?
... And all that to say that for all we know, Mewtwo's real voice might sound almost like Mew's. Which would probably skew which gender box we want to stick him in.