To piggy-back on what has already been said, steroids and thyroid hormones (T3 and T4) are hydrophobic compounds that can penetrate the phospholipid bi-layer that makes up the cell wall and directly affect protein synthesis by attaching themselves to the cell nucleus and altering certain gene expressions. Other hormones are unable to do this and must instead attach to the cell wall and send messengers through the wall into the nucleus.
Sex hormones, primarily testosterone and estrogen, are produced by the gonads. Men get most of their estrogen via aromatization of testosterone, and the same goes for test from estrogen in females. Some of each is also secreted by the adrenal cortex which sits on top of the kidneys.