I'm not sure if this is still the plan, but there was a discussion at one point about giving players a choice of sprites from each of the first four generations of Pokémon, one each for male and female; and these sprites will eventually replace the existing set. Klay has also pointed out how the Playerdex has an option to purchase new sprites, which is currently unused, but we're exploring ideas for it
While PWO does not currently offer anything beyond a simple choice of male or female sprite, it IS possible to customise this sprite locally through skinning. If you go to the Skins folder (in a default install, this will be C:/Program Files (x86)/Pokemon World Online/Skins/), select your currently used skin ("Default" by default), then open the "Sprites" folder, you'll see imagesets for all the sprites used in-game. The Male Player sprite set is contained in folder "1" and the Female Player sprite set is contained in folder "2"; so you can replace the images in these folders with new sprites to change how you and other players of your gender look in-game.