As to the theme, I'd have to say Rose from Legend of Dragoon is one of my favorite female characters. Sad and lonely but knowledgeable and more than capable of taking care of herself. Who over the course of the game learns to trust and care for new friends even as she tries to remain aloof.
Rose-BlackDragoonForm.jpg

Another of my favorites is Tifa Lockhart from FFVII. She is a great character who acts as a big sister and gives advice and help. She's strong and independent and in spite of much of the fan art, in the game itself she is pretty modest.
FFVIITifaLockhart.jpg

I also really enjoyed Cate Archer and hope to see the NOLF games here at some point but as she was already mentioned here, thought I'd highlight some others.

Thanks for the giveaway, KneeTheCap, and congrats to liquidsnakehpks. :)

My favorite female character is probably Grace Nakamura from the Gabriel Knight games. She and Gabriel complement each other very well. Their relationship is akin to Mulder and Scully from The X-Files. Grace is more logical, does more research, takes a more scientific approach to figuring out a problem, etc. You get to play as her in GK2 and GK3, and she's just a very smart, likeable character with just the right amount of spunk,

Congrats liquidsnakehpks and thanks KneeTheCap.