Fantasy with good female leads....I haven't read a whole lot of those, and what I have found has mostly been mentioned. Like Elantris, Warbreaker, and the Tiffany Aching Adventures by Pratchett. The other stuff I can think of have been in teen fiction.
First one that pops into my head is the Gemma Doyle Trilogy by Libba Bray. There're 4 main girls and all are very well-developed and the story is excellent. Victorian England. Gotta love it. The first is called A Great and Terrible Beauty.
And the second one is the Mortal Instruments Trilogy by Cassandra Clare. The female lead isn't quite as well-developed, but she's cool enough and the story is pretty good too. Urban Fantasy.
And if you're okay to deviate a little from fantasy into science fiction, I highly recommend Uglies by Scott Westerfeld. That female lead is awesome. I love her.
To be noted: All three of these, with the possible exception of Uglies, are tailored toward girls. Not that it's total chick-lit, but it kind of is.