The primary reason for using multiple lookup tables is that you can then enforce foreign key constraints. This is quite important for maintaining relational integrity.
The primary reason for using a single lookup table is so you have all the string values in one place. This can be very useful for internationalization of the software.
In general, I would go with separate reference tables, because relational integrity is generally a more important concern than internationalization.
There are secondary considerations. Many different reference tables are going to occupy more space than a single reference table -- with most of the pages being empty (how much space do you really need to store the gender lookup information?). However, with a relatively small number of reference tables, this is actually a pretty minor concern.
Another consideration in using a single table is that all the reference keys will have different values. This is useful because it can prevent unlikely joins. However, I prevent this problem by naming join keys the same, both for the primary key and the foreign key. So, GenderId would be the primary key in Gender as well as the foreign key column.
