All the Metroid games, especially the 2D ones. If you like a good metroidvania, well, you can't go wrong with the game that created the genre.

I did not see Celeste mentioned, but if you're at least one bit into platforming, this gem is an absolute must-play. And must listen, I have the OST on repeat since it came out.

If beat them all are your jam, you need to play some P* games, and the ones with a female protagonist are the Bayonetta. Heavily sexualized, but to a point where it becomes some kind of parody of itself, you have to embrace the aesthetic. The rhythm is frantic, the scenario barely understandable, the action way over-the-top, and the combat gameplay tight as hell.

In more standard AAA waters, the two Tomb Raider reboots are pretty good, although a bit heavy on male-gaze.

Back to the indy side, What Remains of Edith Finch is a first person narrative game, in which you'll play as different characters. But the main ones are girls, and it matters in the plot.