Saints Row
Remember Me
Dragon's Dogma
Dragon Age
Bayonetta
Mirror's Edge
Alice: Madness Returns
Diablo III (with the Reaper of Souls expansion)
Portal and Portal 2

Just out of curiousity, why female-lead games specifically?

I'd suggest Skyrim, Saints Row the Third, Dragon Age (although admittedly it's identical whether you're a woman or a man), Final Fantasy 13/13-2, Resident Evil 6, Dynasty Warriors. You can play as a female for a little bit of The Last of Us, but mostly you're a man.

Beyond good and evil HD remake. used to be on ps2 and now you can play it on 360 and ps3

Mass Effect  trilogy
Tomb Raider 2013
Demons Souls And Dark Souls I & II
Sacred 2 Fallen Angel
Dragons Age
Remember Me
Heavenly Sword
Bayonetta

Fallout 3 and New Vegas, and Skyrim. There's more but I can't recall them at the moment and quite a few people already suggested them as well...!

Borderlands 1&2. It contains some customization.
OR good ol' Skyrim where it had shit tons of customization and 'FUS RO DAH' your way to victory

...And any of these don't work for you, the Tomb Raider reboot

Remember Me.

Dark Souls. 

Final Fantasy 13 has one of the best female protagonists  in my opinion 

Resident Evil 5 and 6 

Elder scrolls though I wouldn't recommend the series myself 

Silent Hill HD collection which includes Silent Hill 3 which has a female main character   

Bayonetta!

Dragon's Dogma, kingdom of amalur, Skyrim, oblivion

Mass Effect, Dragon Age, Fallout 3, Fallout New Vegas, Remember Me, Portal 2, Heavenly Sword... I'm sure there's more.

Saints Row 2, 3, 4
Fallout 3 & New Vegas
Mass Effect series

Tomb Raider

Mass effect