There isn't much in the historical record, and I would caution you against gender bias, as archaeologists and historians have never been in agreement regarding the Lone Wanderer's gender. What we do know, from a material culture perspective has been tantalizing- and the field of Wasteland archaeology has really started to thrive in recent years.
The discovery of a weapons cache and what remains of a Vault 11 jumpsuit in a shack in Megaton is our most tantalizing evidence to date. Conservators are currently working on the restoration of a MrHandy, in the hopes that it may contain audio or visual evidence of the Wanderer, but as of this writing, they've only reported a large sound file filled with jokes.
It appears that he or she may have worshipped small effigies articulated at the neck and placed at an altar- their iconography is still in dispute, but they each appear to be distinct and may have represented values traits in the Wasteland. Finally, forensic anthropologists reported last year that hairs found in context with artifacts believed to be associated with the Wanderer are canine in origin- throwing the common "lone" Wanderer mythos for a loop.