Besides aggression, the explanation that I've heard that makes the most sense revolves around risk: men can effectively have more than one mate (and do in many cultures, especially non-western), so there's more benefit to genetic risk-taking in men. This isn't a big effect, but is very noticable at the ends of the bell curve: more male serial killers, more male ceos.

Anyway, take all evolutionary psych with a grain of salt, but it's interesting to talk about.