For the swim it is important that the material of your suit creates as little drag in the water as possible and that it dries fast once you are out of the water. Your shoulders need to have freedom of movement when you are swimming and the chamois that you will need for cycling is unobtrusive.
Onto the bike and the chamois becomes more important, the inserts are much slimmer than a normal bike short because you don't want them to absorb water or chafe when you run but are just enough padding to take the edge of your saddle.
Once onto the run your tri-suit or separates needs to be long enough in the body that it doesn't cut into you and particularly for female triathletes the top or suit needs to offer some support.
Male and female athletes can choose from an all-in-one tri-suit or separate top and bottoms. It's all down to personal preference, as are other details such as leg length on the shorts. In a long distance event you might prefer a suit with small pocket but most triathletes tape food and essentials to their bike anyway. In very long distance events some favour a hip belt for the run to carry food and drink.