It's not a very long list, which is partly due to my bad memory and the fact that most of my books are on the opposite side of the world, but of course also due to most mainstream books still having male protagonists. I'll add to the list as I remember more, but maybe you can also help me by telling me about books you loved which feature women.
The Snow Queen by Hans Christian Andersen
Pippi Longstocking by Astrid Lindgren
The Female Man by Joanna Russ
Momo by Michael Ende
Exit to Eden by Anne Rice
Shards of Honor and Barrayar by Lois McMaster Bujold
Inkheart by Cornelia Funke
Un Lun Dun by China Miéville
nebula:
A Tale for the Time Being, The Bean Trees, The Elegance of the Hedgehog, are all favorites of mine - with female protagonists (and also written by women). All Men of Genius also features a female protagonist and is a fave (not written by a woman though).
jacinto2:
A wonderful book, about women & race is "The Secret Life Of Bees".