I can't think of many games that featured a woman as the primary antagonist... There are a few where the final enemy is a demon/spirit who has possessed a female body/person (sometimes the player character, so if the player is female the final boss is technically female as well) like Diablo 3 and Fire Emblem Awakening, but the evil entity itself is rarely female.
A few that do come to mind are Portal, Portal 2 (at the beginning at least), Child of Light, Skullgirls, Bioshock 2, the original Jack and Daxter (the joint antagonists were brother and sister), and Zone of the Enders.
And of course Kreia from Knights of the old republic 2, who was a fantastic antagonist.
Like other people have said though, I'm more concerned with simply having a good antagonist than what gender they are. Biowares antagonists haven't been all that strong lately, with Mass Effect 2 & 3 having particularly weak ones, Dragon Age 2 slapping the "driven insane" backstory onto anyone and everyone, and Coryphyfish being one of the lamest things about the otherwise solid DA:I.
DA:I Trespasser Spoilers: