According to The American Heritage Dictionary of the English Language, standing or kneeling figures of a man used as a supporting column for an entablature are called atlantes; whereas supporting columns sculptured in the form of draped female figures are called caryatids.

The former is a plural of the name Atlas; the latter derives from the Latin Carytides, maidens of Caryae, from Greek Karuai, a village in southern Greece.

[Note: It turns out that there are actually two answers: atlantes and telamones ; the latter also denotes male figures used as pillars to support an entablature.]