From what I've seen, women aren't necessarily better natural shots.
The advantage I have seen many women bring to their first lesson, though, is that they don't typically fall victim to machismo. IE, they actually listen to instructors, and don't feel they have something to prove - instead, they have something to learn.
As far as preferring blades goes...
I know Glenn said research doesn't support a "preference," but I'd be willing to bet that statistics will show that women are more likely to use a knife than a gun. This doesn't have to do with preferences, it has to do with availability. I doubt half the women in the US have regular access to a readied handgun. I suspect 95% of the women in the US have regular access to kitchen and butcher knives. For attacks that occur in the home, then, I'd expect to see a lot more women using knives than guns.
But that doesn't mean they prefer them.
From what I've read, and from what I've heard (I have acquaintances who have used knives in self-defense and in combat, including at least one who killed a man using his knife), the knife is much more personal, and has greater impact on its user than does a gun, especially if the shooting occurs well beyond arm's length.
The knife user has to be right up on his opponent; the knife user feels the blade enter the opponent; the knife user may then have to cut the knife back out, and feel the sensation of cutting the person the entire time.
I've only killed a hog, using a knife; that seemed much more personal to me, too, than using a gun.
The other drawbacks to using a knife are that (again) one has to be very, very close to use it; and people often manage to cut themselves, when using a knife against another in a fight.