Samus, yeah, she is a good hero. I just hate it that everyone just assumes she's a "he" or a robot (ok, well, the robot part I understand).
However, I think that Peach Toadstool is also a good female lead. In both "real" (as in, not sport or racing) games she was a playable character in (SMB2, SMRPG) she was one of the best characters. In SMB2, she had one of the best jumps and was a favorite of many. In SMRPG, her healing powers were excellent! Most of us would've never beat the game without her!
People might gripe that she's always in a huge pink dress. First of all, the reason behind this is the probably the same reason that Mario has a hat and overalls, it made it possible to recognize her pixelated image as a princess...or a female, for that matter. Besides, at least she wears enough to "leave something to the imagination", unlike other female game characters.