Off the top of my head - while I'm a fan of Zoey from L4D and Alyx Vance - I quite like The Boss a whole bunch. I'm not very far into MGS3 - because it's cutscene tastic and has crappy controls - but I've always thought The Boss was one of the best female characters in any game ever. I even thought she was a guy until the big reveal of her being a rusky-lover.
Runners up would be - besides the two mentioned above, since that's kinda cliche - Bonnie from RDR, who's sweet and charming, even if her accent gets on my nerves. Third place would be Sheva, since she's quite an interesting character if you read the backstory, although she'd probably be too busy murdering people to actually be bothered with anything else 0_o.