The Goddess Myria in Breath of Fire 1 and 3.
Kaileena in Prince of Persia: Warrior Within.
I don't remember the exact plotline behind her but the final boss of Prey was female and she was pulling all the strings.
Kind of a stretch- Empress Endora in Ogre Battle is in the subtitle of the game and the leader of the evil Empire, even if she isn't the final boss or the person everyone has personal grudges towards.
Beatrice in Wild Arms 3. There's probably other demonic foes like her who at least take the physical form of a creepy little girl regardless of true gender... and then there's Alma in FEAR. And the other Alma possessed by the devil in Final Fantasy Tactics.
Like theemporer said, it doesn't add much. Note that all of these examples except Beatrice are sympathetic to some degree- for whatever deep cultural reason it's easier to detest a male villain. Also, a lot of modern games have the enemies viscerally cry out when they're injured by you, and it can be hard having a woman do that repeatedly without raising unfortunate imagery in some people's minds.