At least one athlete, Erika Schineggar of Australia, has competed in both men's and women's Olympic events. As a member of the Australian National Ski Team, Schineggar won the 1966 women's downhill ski title; but shortly thereafter, when the Barr-body test was introduced, she was found to be chromosomally male and barred from further women's competitions.
After undergoing four genital surgeries, she changed her name to Eric, married a woman, and competed in cycling and skiing as a male.
(lots of similar stories if you follow the link)
http://www.glbtq.com/arts/sports_transgender_issues,2.html