The expression of selenoproteins is controlled on each one of the textbook steps of protein biosynthesis, i.e., during gene transcription, RNA processing, translation and posttranslational events as well as via control of the stability of the involved intermediates and final products. Selenoproteins are unique in their dependence on the trace element Se which they incorporate as the 21st proteinogenic amino acid, selenocysteine. Higher mammals have developed unique pathways to enable a fine-tuned expression of all their different selenoproteins according to developmental stage, actual needs, and current availability of the trace element. Tightly controlled and dynamic expression patterns of selenoproteins are present in different tissues. Interestingly, these patterns display some differences in male and female individuals, and can be grossly modified during disease, e.g. in cancer, inflammation or neurodegeneration. Likewise, important health issues related to the selenium status show unexpected sexual dimorphisms. Some detailed molecular insights have recently been gained on how the hierarchical Se distribution among the different tissues is achieved, how the selenoprotein biosynthesis machinery discriminates among the individual selenoprotein transcripts and how impaired selenoprotein biosynthesis machinery becomes phenotypically evident in humans. This review tries to summarize these fascinating findings and highlights some interesting and surprising sex-specific differences.