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...
All anime i've watched so far (updated evry 4 months)
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.