I've never played Bayonetta so I can't speak on that, but I see Samus being brought up a lot as a female power fantasy. I think she works to an extent, but she's kind of lacking in the sense that you can't really tell much of her gender from her appearance (unless you're referring to Skinsuit Samus). Generally what I hear people like is a character who makes them feel powerful, but is also feminine to a degree. Ever watch Sailor Moon or Madoka Magica? I've heard a lot of people resonate with characters from those shows.
I feel like a character can be sexy and still be a power fantasy, but it depends a lot on how that's delivered, and who it's being delivered for. If you've got the camera panning over them seductively then chances it's a show for the male audience watching. For Bayonetta do you get the impression that her sexiness is more for her to feel powerful, or is it presented in a way that's more akin to fan service?
What works for everyone definitely varies a lot, but you can get an idea of what they're going for based on how it is presented. While I definitely don't buy into the "manly, angry and built like a truck" power fantasy, I know plenty of people who do (particularly when they want to vent their anger)