Mirror's Edge is a game with a great female protagonist. It IS 99.9% first person, however, so the only real indicator of your characters gender is her breathing/grunts and speech. However, in the cut-scenes/dialogue, Faith is quite a good character, in my opinion. She isn't a stupid large-breasted bimbo, "I'm a woman, hear me roar", or any other form of attention whore.
Also, games like Fallout 3, and Mass Effect give you the option to play as a male or female. Usually, I choose male, but sometimes I play female for gameplay reasons (such as the Black Widow perk in Fallout 3, which allows you to seduce certain men).
To sum it up, gender is a small factor for me when I'm deciding whether a game is good or not, unless there is a female character who is obviously just there to whore attention.