Roborovskis are the most social hamsters though will not become overly depressed without other hamsters so long as they have plenty to do. Dwarf hamster pairs have special requirements to keep squabbles to a minimum.
Special Requirements;
1)As large a cage as possible - 76x30cm should be the absolute minimum for any hamster and you really want larger for two. I keep my two pairs in the Ferplast Kios cages which are 70x40cm and they use every inch of it. Robo are very active little hamsters.The mini duna is only 59x35cm which is actually to small for one (The RSPCA actually recommends a minimum of 75x40).
2)No levels. Hamsters are highly territorial and extra levels in the cage are thought to prompt more territorial behaviour - ie fights.
3)A wheel each and preferably wheels that can fit both hamsters at the same so that they don't fight over one wheel. If you are going to provide a house to sleep in, make sure you provide two the same so that they have one each.
4)A bowl large enough to fit both hamsters at the same time rather than a bowl each.
5)This should be common practice regardless of whether you're keeping a hamster alone or in a pair. Always keep some old bedding material back when you clean them out. As I said before, hamsters are territorial so removing all their bedding also removes their scent so the cage is treated as a new territory and fights are more likely to occur. If there is still some old bedding in the cage, they are less likely to fight and will be less stressed.
6)Provide plenty of toys (again, this should be done anyway) though make sure any large toys do not have large, flat roofs that act as platforms (this is the same as extra levels)
As for whether to get two males or two females; it doesn't really matter. There seems to be a lot of disagreement about which get on better though in my own experience females are always more territorial and tend to be more likely to fight.