Alyx Vance without a doubt. I don't think I even need to say why, but I will anyway. She's believable, she has a great personality, she's interesting, deep, pretty in a girl-next-door kinda way rather than the supermodel way, and I actually became attached to her while playing.
Secondly Cate Archer from the No One Lives Forever series. I know she's not meant to be a character that's taken very seriously, but I like her. Shes sexy in a typical way, but doesn't relentlessly flaunt herself and actually has character and a personality, she's intelligent, quick and has a sense of humor and a level-headed quality to her.
I basically like any female character in a game that isn't intended to be masturbation material for 14-year-old sweaty nerds.