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...
Comedia irreverente con dosis altas de absurdo y calidad, nada mejor que esto para sacarte la sonrisa
For when you just need to laugh
I'm on a long and epic quest to watch all Mahou Shoujo shows in existence. This is what I still have to do (in no particular order).
This list is likely incomplete, since some shows aren't tagged...
Just a hand full of English dub animes I have found!