Scientists originally made this observation before modern science could test why, yet it has since been proven that on average males have darker hair and skin than their female counterparts.
The difference is mostly due to the higher levels of melanin in the skin, hair, and eyes of males. Men also tend to have redder skin because of their greater blood volume. The reverse is also true.
Women tend to have blonder hair and green or blue eyes and lighter skin. Both of these are a result in lower levels of melanin.
While the reason originates from melanin differences, scientists are not sure exactly why men and women have different levels. However, they have noted that the difference in skin color tends to be more pronounced in populations that are neither very light nor very dark skinned.