I feel like gender ambiguity - either a character whose gender is kept deliberately ambiguous, or one who's referred to as "he" or "she" for a while, then gets a Big Reveal - is one of the types of information-hiding most likely to fall flat on its face in a really serious way.
Sarah Caudwell and Ashinano Hitoshi are the only writers I can think of right off who have introduced a character who is definitely either male or female, then never bothered to mention which. Most writers want to hammer it out at some point, even if they just say "both" or "neither." Whatever the answer is, when it does come, it's going to temporarily jar the reader out of the story to recalibrate. Particularly if the setting's one in which gender roles matter seriously, and the character's been around for a long time, the reader automatically starts reanalyzing things.
Sometimes this is what the author wants the reader to do, and the story's set up in a way to make the reanalysis productive in some way (Shadow Man by Melissa Scott; Fruits Basket in a completely different way; presumably a certain sequence in Glory Season by David Brin). But sometimes the author just put the ambiguity in there "for fun" (not that there's anything wrong with that!), and if the reader doesn't share the author's culture/politics, it can ruin the whole experience for him/her. (See lots and lots of manga, but Mikiyo Tsuda's Day of Revolution and Princess Princess suffer from this particularly badly - I feel that the humiliation/self-loathing of girls-and-people-who-look-like-girls thing she does is mostly intended to be erotic (her yuri is pretty telling that way), but the way she presents it seems to make it too offensive to most Westerners to be readable as such.)
Re: More risks:
Sarah Caudwell and Ashinano Hitoshi are the only writers I can think of right off who have introduced a character who is definitely either male or female, then never bothered to mention which. Most writers want to hammer it out at some point, even if they just say "both" or "neither." Whatever the answer is, when it does come, it's going to temporarily jar the reader out of the story to recalibrate. Particularly if the setting's one in which gender roles matter seriously, and the character's been around for a long time, the reader automatically starts reanalyzing things.
Sometimes this is what the author wants the reader to do, and the story's set up in a way to make the reanalysis productive in some way (Shadow Man by Melissa Scott; Fruits Basket in a completely different way; presumably a certain sequence in Glory Season by David Brin). But sometimes the author just put the ambiguity in there "for fun" (not that there's anything wrong with that!), and if the reader doesn't share the author's culture/politics, it can ruin the whole experience for him/her. (See lots and lots of manga, but Mikiyo Tsuda's Day of Revolution and Princess Princess suffer from this particularly badly - I feel that the humiliation/self-loathing of girls-and-people-who-look-like-girls thing she does is mostly intended to be erotic (her yuri is pretty telling that way), but the way she presents it seems to make it too offensive to most Westerners to be readable as such.)