It's extremely rare for me to find a female character that I find really interesting in fiction - in fact I can't remember a single one even when trying. I like women so that probably says more about the types of women you mostly see in popular culture.
But Yennefer of Vengerberg is such a character. Strong personality, well-written, intriguing and multifaceted. Composed, intelligent and cultured (if only women had more role models like this). Badass sorceress.
The availability heuristic is a fucker. I suppose the issue is
popular culture. There's plenty of great, well-rounded female characters in niche cultural (contemporary literature, scripted stuff on comedy central, some tv shows of the last few years, historical figures, comics) sources. I wonder if there's a demand for a simple referential graphic or webapp that points you to examples in media of your choice.
Finding in a fantasy genre video game, though? That's a little harder. Good on CD Projekt for including at least one, despite falling into most of the usual hazards (I like tits, but do all have them have to be great tits? Not all the male models in the series have awesome pecs or symmetric faces) where women in fiction are concerned.
And one last thing: