Why Is a Ship "She"?

Because the rigging costs more than the hull!

Seriously, though, nobody really seems to know. Someone on Yahoo! Answers suggests:

Well, Great Britain in Medieval times was known as the Mistress of the seas. Shipping was very important. Especially during the reign of Queen Elisabeth I. So ships were taken as living beings and in Queen's honor as female.

But the Navy says otherwise:

It has always been customary to personify certain inanimate objects and attribute to them characteristics peculiar to living creatures. Thus, things without life are often spoken of as having a sex. Some objects are regarded as masculine. The sun, winter, and death are often personified in this way. Others are regarded as feminine, especially those things that are dear to us. The earth as mother Earth is regarded as the common maternal parent of all life. In languages that use gender for common nouns, boats, ships, and other vehicles almost invariably use a feminine form. Likewise, early seafarers spoke of their ships in the feminine gender for the close dependence they had on their ships for life and sustenance.