Usually the female will have short fins (sort of like a female guppy or female molly (female platy) has in color. The male, if it's a betta SPLENDENS will have long, flowing dorsal, tail and anal fins. However, there are short finned bettas (plakats, wild-types) that will have short fins (like female described above) and I've seen pet stores selling these male plakats as female betta splendens--which is false advertising because if you put one of these male plakats with a male splendens, they will fight to kill. A mature female betta splendens will have a small whitish spot at her "anus" which is her egg tube. Take a look on Aquabid, in the betta section, to see what females and males of the various fin types look like.
Mature males will make bubblenest--kind of in hopes of getting lucky! Doesn't have to be a female anywhere around and if htey are healthy and happy, most males will make a bubblenest (but not all, some are lazy) if the water isn't moving and there isn't a draft. Some females will also make bubblenests but it is rare.
My daughter has two bettas. The one was gotten as a center piece from a wedding back in September. Sometime in January, the LFS had offered what was thought to be a female betta to go with the male. It was quite young when it was given to us. We are not sure of the sex of the second betta due to the finage. The top fin is about the same length, but the bottom fin is much shorter at this time. I know we have had the fish since January, so the age of it is really unknown. The male was found last night with a bubble nest or so we think. The two fish are separated by a piece of paper stuck between the two 1 gallon tanks, so we dont think they can see each other. I guess I question why the male would even make a bubble nest if the other one was NOT female. Can anyone give me a clue as to how to distingish between the sexes. 
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