About the only sure way to tell the sex of a squirrel is to turn it over and look. The squirrel uses its tail for many things, its primary function is for balance. This enables the squirrel to maneuver quickly without falling. It is also used as a parachute, should the squirrel fall. It can act as a blanket in the Winter.
Squirrels also use their tail to communicate with other squirrels.
The pitch and the duration of these sounds have meaning to other squirrels. Tail gestures are also a form of communication. Squirrels look like they run fast and for there size and weight they do. There is an old story of an Illinois state police officer that once clocked a gray squirrel, with his radar gun at 20 mph. Other research has confirmed similar speeds for squirrels.