"Sex" refers to biological differences that define men and women.
"Gender" is an identity constructed by a culture, as in masculine or feminine in American culture. Other genders are being defined, such as pan-gender or trans-gender. Some cultures may have multiple genders that are socially normal.
Gender roles can limit the freedom of both men and women in emotional expression, careers, perceived abilities, dress, and other areas. Many comics are written from a feminist perspective to place women in more powerful roles than they have traditionally been portrayed.
"Sexual Identity" refers to the gender preference for romantic attachments, LGBT (Lesbian, Gay, Bisexual, and Transgender), as well as Straight.