Literally. The data seems to suggest that worldwide, women are fairer skinned than men, and also have fairer hair. However, among Europeans, eye colour does not follow a similar pattern. Instead, men seem to be more likely to have blue eyes (though women are more likely to have green eyes).
Here are some tables of data on sex differences in hair and eye colours.
First, from the National Longitudinal Survey of Youth, via GNXP. As you can see, blue eyes are more common among men than women, whereas green eyes are more common in women. But women are more likely to have fair hair.
From another study we have data from three northern European nations (again, via GNXP). This one shows also that men are more likely to have blue eyes, and women to have green eyes. This study also shows that women have fairer skin (skin sensitivity being an indicator). Not much of a difference in hair colour though.
Data from the US National Health and Nutrition Examination Surveys, also shows a male-female gap in blue eyes. From “Cohort effects in a genetically determined trait: eye colour among US whites” (2002).
There is more data from Finland, which finds a similar pattern of blue-er eyes among men, but little evidence of women having lighter hair.
Update: from Gender is a major factor explaining discrepancies in eye colour prediction based on HERC2/OCA2 genotype and the IrisPlex model (2013), is new data and a collection of data on blue eye frequency among men and women in various European countries:
Peter Frost has written a fair bit on this topic, arguing that in Europe, until “10,000 years ago, Europe had vast expanses of continental tundra—an environment where male hunters provided almost all the food and where long-distance hunting caused more deaths among young men than among young women” – and thus, there was stronger sexual selection on women, leading to the exaggeration of feminine traits (whereas he argues the opposite for Africa – that in Sub-Saharan Africa women have been able to largely feed themselves and their offspring, has resulted in stronger sexual selection on men).
He has consequently argued that these European traits represent something of a feminization and are sex-linked. The blue-eye fact, is, of course, somewhat contradictory to this hypothesis, in that men are more likely to have blue eyes (though women are more likely to be green eyed). The fair hair is interesting, as it is more common in juveniles and tends to darken as people age, and girls, who actually start off, on average, with darker hair than boys, end up with lighter hair, on average, in adulthood. The association of lighter hair with children and women is also found in other groups, such as Australian Aboriginals and Papua New Guineans. A 2008 study (“Spectrophotometric Methods for Quantifying Pigmentation in Human Hair—Influence of MC1R Genotype and Environment”) using twins, also found that females had lighter hair than their male twins, as well as greater variability. Frost considers female colour variability to be the key, in hair colour and eye colour.
It has been argued by Cochrane and Harpending (2010), and Eiberg (2008), that the origin of blue eyes dates from 6-10,000 years ago, which would seem to be too recent for the spread to be explained by Frost’s thesis. However, Frost disputes these dates as not based being based on any real analysis.
[See also my post on the distribution of fair hair and eyes around Europe].