Studio Ghibli has a fine roster of female characters who could easily fill the roll of protagonist in a video game. Granted film to video game conversions usually suck, but it doesn't mean we can't use the character archetypes frmo Studio Ghibli films. Basically what I am saying is that the world needs a "Nausicaä of the Valley of the Wind" game badly.
Disney characters, as well. Walt Disney, for whatever other faults he had, was willing to put women in relatively empowered roles in ways that were ahead of their time. For all the princesses in Disney, most Disney leads are proactive female main characters. In the original Beauty and the Beast, the focus certainly wasn't on the Beauty. The prince is largely incidental to Cinderella's story. In fact, he's practically a human McGuffin.
I've also said this in some of the other threads, but as much as some of the worst examples of objectification of females occur in Japanese media, I actually see much better portrayals of women in JRPGs and mangas and anime than in much of Western media.
This owes an awful lot to the fact that there are just plain more women writers and women who will buy female-focused games. (Of course, in the case of JRPGs, that owes a lot to the simple fact that they focus upon characterization at all than WRPGs.) The thing is, these games are rarely the ones made by the biggest-name companies.
The recent Squeenix focus on female characters is fairly shallow, but so is their general way of handling storytelling recently. Compare Terra/Tina Branford to Yuna or Lightning. Terra wasn't showy or stylized, and she certainly had a deep feminine side that was as explored as the generally light focus on any given character could be - she would have outright preferred to have been a complete pacifist than save the world, but couldn't refuse the call. Lightning just starts killing things because GRRRR! tough female lead! No time for human emotion!
Oh, and for proactive female leads...
Anything with "Atelier" in the title from Gust. (with a couple exceptions in the Iris series). I've gushed about Atelier Rorona and the rest of the Arland series plenty on this forum, and won't be ashamed to do so, again.
The before-mentioned Puppet Princess series (released as Rhapsody in America, but its sequels weren't released)
Recettear and Chantelise (Crepe Fulgar is pretty much on a roll...)
A few of the Fire Emblem games
Even though the fanworks can severely undercut that message, the general theme of canon Touhou is that the fate of the world is in the hands of a handful of women and goddesses with world-busting powers holding back while they whump each other for shits and giggles.
There's even the somewhat dubious/amusing example of My World, My Way
, which is about a spoiled princess whose superpower is whining so hard that it alters reality to her whims. The main plot revolves around how she's got a crush on a handsome adventurer who doesn't want anything to do with her since he thinks she's too weak and prissy, so she goes adventuring to kill something so powerful that he'd have to recognize her. Once she winds up saving the world from a demon princess, she comes back to realize he's just an insecure jerk that puts others down to make himself seem better, and she's too good for him, anyway. (But still... her superpower is "pouting", and she has a supply of "pout points" with which she can remodel the world to her liking per day.)
I'd even say that some games with male leads let females play a major enough role to qualify, as well.
Atelier Iris 2, for example, switches focus between the male (swordsman) lead who focuses on the combat, and the female (staff chick) childhood friend who focuses on the alchemy/crafting, but then, 2/3rds of the way through, the male lead gets petrified by the main baddie, and the female lead has to take a crash course in adventuring to go off and rescue him so they can take on the baddie together.
The female lead is obviously in a more passive role, but much more proactive than the norm.