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...
not too impressive atm, but growing steadily
Depressing anime, hopeless, or just plain sad. This isn't a list of bad anime, if you're looking for funny or happy-go-lucky anime, turn around ... this isn't for you!
Anime that have zombie appearances.