In the most recent issue of EGM, there was an interview with Hideki Kamiya, the creator of Devil May Cry and upcoming game Bayonetta. In it, he mentioned that games with female leads have been hard to sell in the past. When I read this, I realized I couldn't think of many games I've enjoyed. Do you have any games that you are particularly fond of that have female main characters?
Two standout games I can think of, though, are the games Rule of Rose and Haunting Ground. Both are horror games, and have several things in common (a girl brought into a strange setting with little to no way to defend herself, her only companion being a dog). Both were excellent games, with Rule of Rose's highlight being it's creepy, tragic storyline and atmosphere, while Haunting Ground did a fantastic job a scaring you and making you feel uneasy the entire time you're playing.