Not many anime have female leads, here is a list of the ones that I know about. This will also include anime, where there are multiple protagonists.
If you know of one, that is not listed, please...
Every single of my plan to watch anime is in this list alphabetically.
If you need any help or have any questions look at the first entry in this list(CATMAN) and read whats under it.
100% opinion. This is as of what I've seen so far, and is subject to change with new experiences. And no, I haven't seen School Days. Yet.