There are a quite a few that I've enjoyed over the years. I'm going to list off a bunch of them rapidly.
Chi Li from the mythological story "Chi Li Slays the Serpent". She was due to be sacrificed to a giant serpent and decided to fight it instead.
Kahlan Amnell from the Sword of Truth book series. Terry Goodkind created a female lead that was just as strong and inspirational, if not more so, than his male lead.
Wonder Woman. Her outfit is over sexualized, but she kicks butt and I love her mythology inspired back story.
Buffy the Vampire Slayer. Not all blondes are helpless, and Buffy proved it time and again.
Katniss Everdeen from the Hunger Games. Often breaking the conventions of what a hero should do, Katniss is one of the standout characters of modern YA literature.
Hermoine Granger from the Harry Potter series. Smartest witch of her age.
Lara Croft from the Tomb Raider series. Like with wonder woman, Lara has been over-sexualized, but if one can look past that, they can find a rich history for the character. Nowhere was this more apparent than the games made by Crystal Dynamics.
Jade from Beyond Good and Evil (video game). A rare gem of a game and a rare gem of a character (sorry for the pun).
And those are just the characters I can think of off the top of my head. I thoroughly enjoy a strong female character in any form of entertainment.