ANSWER:

Here is the code for SQL Server 2005:

DECLARE @x TABLE(Gender VARCHAR(6), Age INT, Name VARCHAR(32));

INSERT @x SELECT 'Male',   30, 'Bill'  UNION ALL SELECT 'Female', 27, 'Jenny'
UNION ALL SELECT 'Female', 27, 'Debby' UNION ALL SELECT 'Male',   44, 'Frank';

DECLARE @html NVARCHAR(MAX);
SET @html = N'';

;WITH x AS ( SELECT x.Age, x.Gender, x.Name,
    dr = DENSE_RANK() OVER (PARTITION BY x.Gender ORDER BY x.Age),
    gn = ROW_NUMBER() OVER (PARTITION BY x.Gender ORDER BY x.Age),
    rn = ROW_NUMBER() OVER (ORDER BY x.Gender DESC, x.Age)
  FROM @x AS x ) SELECT @html = @html + 
    CHAR(13) + CHAR(10) + CASE WHEN c1.gn = 1 THEN 
        CASE WHEN c1.rn > 1 THEN '' ELSE '' END + '
' 
        + c1.Gender ELSE '' END + CHAR(13) + CHAR(10) + CHAR(9) 
        + CASE WHEN c1.gn = 1 OR c1.Age <> c3.Age THEN 
        CASE WHEN c1.gn > 1 THEN '
' ELSE '
' END + '
' 
        + CONVERT(VARCHAR(32), c1.Age) ELSE '' END + CHAR(13) + CHAR(10) + CHAR(9) 
        + CHAR(9) + CASE WHEN (c1.gn = 1 OR c1.Age <> c3.Age) THEN '
' ELSE '' END 
        + '
' + c1.Name + '
' + CASE WHEN c1.Age <> c2.Age OR c1.dr <> c2.dr 
        THEN '
' ELSE '' END
FROM x AS c1 
LEFT OUTER JOIN x AS c2
ON c1.rn = c2.rn - 1
LEFT OUTER JOIN x AS c3
ON c1.rn = c3.rn + 1
ORDER BY c1.Gender DESC, c1.Age;

SELECT @html = @html + '
';

PRINT @html; -- note you will need to deal with this 
             -- in another way if the string is large

And here is proof that it works:

by Aaron Bertrand from http://stackoverflow.com/questions/10300830