I prefer to use the @ symbol so I see the query exactly as I can copy and paste into a query file:
string name = "Joe";
string gender = "M";
string query = String.Format(@"
SELECT
*
FROM
tableA
WHERE
Name = '{0}' AND
Gender = '{1}'", name, gender);
It's really great with long complex queries. Nice thing is it keeps tabs and line feeds so pasting into a query browser retains the nice formatting