OP, you should elaborate more. There are too many games, just take a look at:
svs-games.com/tags/female+protagonist/
svs-games.com/tags/Female+Heroine/
The Japanese have made many games with female protags (Ariadne, Magica, Haru Uru, Liz of the Tower Town, Sacred Eyes, Muchi Muchi School Trip, Holy Knight Olyana, Salvation and so on).
Finished western games? Aside from those already mentioned: Noxian Nights, I love Daddy, Vitamin Plus (not sure if weg, though)