She is definately a girl. I explained this with HDS in my "Where's that dang lighter?" thread in the Original Artwork section, if you care to read it.
But I'll recap it for you.
Basically, Ed was originally a boy, but was changed to a girl last minute to add balance to the characters. Even after her first appearance (in which it was ambiguous as to which sex she was) there was some debate of her sex even after characters refered to her as "girl" and "her", and even after Faye said "Hey, you're a girl!" in Edward's debut episode.
I believe the only reason there was any confusion to begin with is because of her name (which is really just an online alias but sticks to her throughout the series) and because shes somewhat of a tomboy with a mechanical know-how and is incredibly sophisticated for someone of her age. I think for these reasons she was considered more a boy than a girl.
For those that thought that she was a boy, they also might have thought she was a cross-dresser. Her attire is something which a girl would wear, not a boy. And she uses playfully feminine mannerisms, so that might have further perpetuated the oddness of her character under the assumption that she was a boy.
Although, light is finally shed when in the dvd bonus materials Ed is definately labeled as a female in her bio profile. In the movie she herself says "Ed's not a little boy; Ed's a little girl!". Finally, to top it all off, there were interviews with the creator and original character designer, and in which they both stated that Ed was in fact a girl.
That pretty much ended any speculation at that point. Although I'd imagine there are some that probably still believe she's a boy; merely because they wanted her to be one or would have prefered if she had been a boy.
Personally, I'm glad she was changed to a girl. There was a need for some balance between three lead characters (one of which is a woman), and if you were to include Ed as another boy or even include Ein the dog, then Faye would be outnumbered four to one. So for balance reasons Ed was made a girl last minute.
