There was Ayame, the playable female ninja character from the Tenchu [http://en.wikipedia.org/wiki/Tenchu] games.
Back on the PS1, in the second Medal of Honor game, Underground, you played as Manon Batiste, French resistance fighter and OSS agent. It was an FPS but there were a couple missions you went around in disguise getting past German guards with forged documents and a silenced pistol.
Any RPG that lets you build a female rogue with actual stealth abilities.
Mass Effect 2 doesn't really have any stealth elements whatsoever, but the DLC character Kasumi has that great ninja attack where she disappears then reappears behind an enemy and clips him. She was one of my favourite squadmates for that reason, since it was like having a living smart bomb.