That's a good question, Jason. In the Yellow Breeches, Sulphur nymphs (E. invaria) have four color variations--nearly black, brown, olive, and amber. All four colors can often be found occupying the same rock. My guess is that these variations have evolved so that a certain percentage of the population will be more or less camouflaged against various backgrounds (which seems to fit with invaria's adaptability to diverse habitats). I don't think these colors are gender-specific, however. If they were, one would expect that all of the black or brown ones would be males, and all of the olive and amber would be female. This does not seem to be the case. I suspect it is more likely that you might detect gender differences within a color group (dark olive vs. light olive), but I'm not sure.
What I can say with regard to Hendriksons, however, is that you can sometimes see gender clues in the belly color of mature nymphs. On the Brodheads, female Hendrikson duns often have pink bellies. I have found fully mature female nymphs (some of which were quite dark in dorsal coloration) that displayed pink bellies.
Other families offer other gender clues as nymphs:
In the Polymitarcyidae, male White Fly nymphs (Ephoron spp.) have a shorter center tail (which they lose). Females, which mate as duns, have three short tails (which they retain).
Among the Ephemeridae, male Yellow Drake nymphs (Ephemera varia), in addition to being smaller and having larger eyes, have a slightly different pattern of dorsal (tergite) markings than females.
Because both groups of nymphs (White Flies and Yellow Drakes) are pale and rather translucent, the color of the developing eggs will impart a yellowish cast to the abdomen of fully mature female nymphs.
Of course, all of these distinctions are for mature nymphs. As for detecting gender differences in earlier instars, I haven't a clue!