This is not meant to be a comprehensive list of shows from the last 20 years with female leads. The point for me was to point out the female leads in stories I personally have loved. Even if I didn't love them all the way through (Buffy, for example). Even if the material itself is not Shakespeare (one more person bad mouths Special Unit 2 to me, and I Will Cut You. I Mean it).
If you are convinced I have missed a vital character/show, please go back to the "What I [Personally] Have Loved" and feel free to point out characters in stories you have loved. But remember--this list is very personal to me. I may well have forgot someone I meant to include (Vicki Nelson, from Blood Ties for example got added when someone made a meep? noise). Or it may not have made my list for a good reason (i.e. Alias. I did not love it. Nikita OTOH, was an entirely different story. Until it started To Suck. See Buffy).
Vaguely Recent (i.e. Last 10 Years) Fictional Things What I Love With Female Leads Who Are Actually Leads and Not Solely Sidekicks/Wives/Girlfriends/Supporting Cast
The Middleman (Wendy)
Blood Ties (Victory Nelson)
Sarah Connor Chronicles (Sarah Connor)
Sarah Jane Adventures (Sarah Jane, Maria Jackson)
Doomsday (Maj. Eden Sinclair)
Wire in the Blood (Carol Jordan)
Catwoman (Selina Kyle) [Post-Zero Hour Brubaker run]
Battlestar Galactica (Starbuck, Roslin, Six)
Howl's Moving Castle (Sophie)
Spirited Away Chihiro
Pirates of the Caribbean (Elizabeth Swan)
Spaced (Daisy Steiner)
Gosford Park (Mary MacEachran)
Red Cap (Jo McDonough)
Special Unit 2 (Kate Benson)
Dark Angel (Max)
Farscape (Aeryn Sun)
Not At All Recent (i.e. Before 1998) Fictional Things What I Love With Female Leads Who Are Actually Leads and Not Solely Sidekicks/Wives/Girlfriends/Supporting Cast
Wonder Woman (Diana)
Jem (erm... the entire cast)
Press Gang (Linda Day)
Gargoyles (Elisa Maza)
The X-Files (Scully)*
Buffy the Vampire Slayer (Buffy)*
vr5 (Sydney Bloom)
Earth 2 (Devon Adair)
Lois & Clark (Lois Lane)
Bionic Woman (Jamie Sommers)
Moonlighting (Maddie Hayes)
Scarecrow & Mrs King (Amanda King)
Remington Steele (Laura Holt)
Kiki's Delivery Service (Kiki)
My Neighbour Totoro (Mei, Satsuki)
The Thomas Crown Affair (Catherine Banning)
* I did love them once, even if I still mentally add "before they started to suck", so I left them in.
ETA: I so need to work up a list of Fictional Characters What I Love And Who Are Awesome Even if They Are Sidekicks/Wives/Girlfriends/Supporting Cast, but for me today, it's really all about the Leads and Co-Leads.
Also, I define lead as "who's story is this?" Which is why Laura Holt and Wendy Watson, etc. because you cannot deny that in their cases, it is their story. They are in partnerships with men, they are co-leads with men, but the story we are being told is undeniably theirs.
EMETA: And before you ask, I left out Doctor Who and Torchwood on purpose. Cos if you ask me, Gwen and Rose, Martha, and Donna are all co-leads. But if you ask large chunks of fandom, they're sidekicks or love interests or both. And that's not a question I really want to get into here or now, cos I'm holding onto my sanity by a thread. But I'd say Gwen, at least, is presented from day one (literally) as a lead. As was Rose, tho by the time we hit the third series, it's more equally the Doctor's story, than his companions' stories. Which is a shift the series had to make (which I fully support), once it had been successfully relaunched.