I can think of a few at the top of my head... In the Siren games, there are several female characters to play as, and since the Siren games haven't really got a main protagonist, I suppose that counts. Almost all the characters tend to play a part, big or small, to the essential plot. Some have their own stories, some help developing other stories.
Another one is Venetica, which seems to have a good female protagonist. While I haven't actually played it myself, it does look like fun.
Pirates: Legend of Black Kat has a female protagonist, and a good one too! (don't let the "sales with sex appeal" boxart fool you, it's actually a great game.)
Then there is X-Blades. ... Let's just say we won't be questioning her gender at the end of the game, because they sure do remind us of it. Not that I'm complaining... (I'll leave that for the rest of the game.)
Oh, and Okami! Yeah, Ammy is a wolf, but female nonetheless.