Other could be somewhere on the spectrum between male and female without quite feeling comfortable calling yourself either. (Transgender, maybe even pre-op or post-op gender change.) Or it could mean asexual.
"Asexual" isn't the term you're looking for -- asexuality has no more to do with what gender you identify as than heterosexuality, bisexuality, etc. do. The concepts might be related for some people, but they aren't inherently so.
I believe it is simply "agender".
I've also heard the word "neutrois" for a third gender neither male nor female, but that's not quite the same as no gender.
