Besides me wanting to immediately say things like Metroid, Celeste, Tomb Raider, Life is Strange and such.

Games I enjoyed

• Cat Lady / Lorelai
• DOS2 (technically you can just play Sebille and Lohse stories)
• fault milestone (incomplete)
• anything by Christine Love (visual novels)
• Transistor

Then other random games I can think of that I didn't see listed

• Fatal Frame
• Bleed
• They Bleed Pixels
• Franbow
• Beyond Good and Evil
• Beyond Two Souls
• Indivisible
• Hatsune Miku games? (lol)
• Potionomics
• Alice Madness Returns
• Tandem: A Tale of Shadows
• Gris
• Little Misfortune
• Crypt of the Necrodancer
• Neptunia series
• Saintmaker

And I should stop before I am here all day thinking... lol

Mirror's Edge is a good one I haven't seen mentioned yet. A bit older by this point but it was a fun one.
Transistor is another great one. The gameplay was fine but the art and sound is incredible.

Returnal.

Assassin's Creed Odyssey female lead is canon, although you have the choice to play the male as well.

Cyberpunk!

Trying to find some that haven't been talked about yet:

Echo. It's a fantastic experimental infiltration game with an AI that adapts to your way of playing. The setup is very impressive.

Pathologic: one of the three playable characters (the Changeling). It's a bizarre russian game, with an unique world, and messy gameplay. Can't recommend it enough.

Va11 Hall-A: chill bartending game in a cyberpunk setup.

The Blackwell series: comfy, kind of amateurish point and clicks by Wadjet Eye. I like them very much.

Transistor: weirdest game by Supergiant. You play as a redhead with a talking sword. I don't remember much about it except that it was good.

The Fall: (pushing it a little bit, since the protagonist is an AI, but I've always seen here as female.) Criminally underrated puzzle games, disguised as metroidvanias.

Eliza (by Zachtronics): the only visual novel I enjoyed. It's hard to explain, it's about AI, burnout, whether tech dehumanizes people, and solitaire.

Hedon Duology: for something completely different, it's a slightly kinky retroshooter, with amazon Orcs fighting demons.
It may sound a bit dumb, but it's excellent. Huge levels, interesting worldbuilding, and a gameplay based on exploration, puzzles as well as shooting.

There's probably a ton more, but that's all I can think about at the moment.

Great list from @mint@beehaw.org, just a few more:
Gris is an absolute gem.
The A Plague Tale duology is also up there (with Requiem being my favourite game of all time, so I'm extremely biased, sorry / not sorry :D).

Surprised no one has mentioned Tomb Raider yet. Others not yet mentioned:

• Assassin's Creed: Liberation, and Chronicles: China
• Beyond: Two Souls
• The Last of Us Part II
• inFamous: First Light

I'm having a great time finally getting into What Remains of Edith Finch.

Control is excellent

Not female, but the protagonist of Outer Wilds is nonbinary, as is their entire species.

Plague Tale:Innocence and Requiem

I enjoyed Uncharted: The Lost Legacy. It's a bit shorter than U4, but still worth playing. I liked Chloe and Nadine together.

It's older, but The Longest Journey is good. Unfortunately, the final game in the series kinda sucks.

While it's an ensemble, most people would agree that the main character of Final Fantasy VI is a woman—they just might disagree about which woman is the lead.

I also liked the first Xenosaga game, but again, it's a series that goes pretty badly downhill.

Don't see it mentioned yet, it's an older game but Remember Me is pretty good

Jade from Beyond Good and Evil.

Can I suggest some great novel games?

**VA-11 HALL-A: Cyberpunk Bartender Action **

• play as a bartender and change outcomes of stories by providing different drinks

Fatal Twelve

• death game, mystery, lesbian couple as main character, one of the best

The Last of Us: Part II !

Night in the Woods is objectively the best game ever made by any measure. Tacoma and Gone Home are amazing too.

I mean I dunno, it depends on what kind of games you like, surely?

Silent Hill 3 has a great female protagonist imo, but you have to play Silent Hill 1 to get the gist of the story in 3.

Resident Evil Remake 2 and 3, great games with both male and female protagonists!

Ms Pac Man obviously

A group of developers have created a version of the game and it's sequels that runs on modern machines: http://nolfrevival.tk/

Edit: this was meant as a reply to @KIM_JING_JUICEBOX 's comment. No One Lives Forever is a whip smart spy FPS that nails the Bond aesthetic but stars an unforgettable female protagonist, Kate Archer. Download it for free above.

Aquaria

A very well put together Metroidvania. The map is very fun to explore, good boss fights, great music, and interesting story.

Whoa whoa whats wrong with Senua?

A few more that may not be mentioned:

Dandara - fun platformer

Ion Fury - throwback to 90s shooters, good if you can handle some juvenile humor.

Knights and Bikes - played through with my daughter and we loved it.

(Edit: runekn mentioned this already) Spiritfarer - low pressure gameplay, story and exploration focused

Shadow of the Tomb Raider. Lara Croft is still a thing...

The code realize games are pretty good. Also gonna shout out Pretty Princess Party and it's sequel Pretty Princess Magical Garden Island. They're both on the girlier side of things but don't get as much attention as they should.

Final Fantasy X-2 comes to mind. I didn't finish it, but it's well-reviewed so...