What's the most common way of referring to the gender of a friend?

I thought about 'male friend' or 'female friend.'

I've heard people saying 'girl friend' (usually girls say this).

What's the most common way of saying this?

Female friend and male friend are fine, but usually you don't say the gender of the friend explicitly. If you say my friend then later refer to that friend as she, it simply becomes obvious the friend is female; similarly, if you say a friend of mine, Tom, it's apparent that the friend is male because Tom is a male name. If you're not talking about a specific friend, then e.g. I have a lot of female friends is the best option.

The problem with girlfriend is that it almost always implies a romantic relationship: if a female says it casually, you're relatively safe assuming she means just a female friend and not a lover, but for (heterosexual) males it's exclusively for romantic involvement. With boyfriend a romantic relationship is always implied, regardless of the sex of the speaker.

The Wikipedia page makes a good discussion. Read it.

For some people there is a distinction between girlfriend/ boyfriend and girl friend/ boy friend (separate words), in the sense that the latter does not assume a romantic relationship. Also, the words ladyfriend, lady friend, guyfriend, friend boy or friend girl may be used with the same meaning (non-romantic).
I have personally used the expression lady friend (but apparently incorrectly according to Wikipedia). Male friend or female friend sounds disagreeable to me.