I'm slightly surprised that Samus hasn't had more of a discussion. Sure, she's not a SE character, but she's an odd case that seems worthy of at least a few comments.
On one hand, she is a wonderful example of female excellence: she'll save the day, rescue the princess (well, baby/giant metroid thingy), and break the awesomeness scale while doing it.
But on the other hand, she's still often depicted as a stereotype. In order to survive in a man's world, she's had to lose most traces of being a woman. She's an awesome character who happens to be female, not an awesome female character. Though, to be fair, the games don't give her much character development. And let's not even talk about the bikini shots that are traditional for beating the games under certain time limits.
FF1-The only female PC was White Mage...
Negatory, good buddy. White Mage was male (at least in the original).
4 had Rosa, who played the generic Damsel in Distress for practically the entire game, while Rydia's summons were ok, but generally came back to bite you if you used them too much, as most summons do.
Rydia's character really deserves more credit. She had a crappy childhood but wasn't waiting around for some man to save her, she was busting heads and callin' monsters. At the time, that was pretty kick ass for a woman's role in a game. Take THAT, Princess Toadstool!
10 involved Yuna(summoner) and Lulu(black magic woman), both of whom I honestly could not stand. Plus there's the fact that the entire damn game was basically a romance novel produced by Square Enix. Worse thing to tarnish my PS2.
Bah, FFX is one of my favorites due to its delicious level system (the sphere grid) and the return of unique character roles. Lulu's look was totally designed to be a boy's wetdream (most sexist victory pose ever), but she had a strong personality and tended not to take crap from anyone (Auron was really the only one she'd defer to). He BF died, but she carried on. Her charge died, but she carried on. Sure, she could have used more character development, and a redesigned character model, but she was a surprisingly strong character. Possibly because she was the black magic user, and those tend to be harsher individuals.
As for Yuna, while she shared a lot of Schala's self-sacrificing nature, she was still very head strong and independent. I'm particularly reminded of her decision to marry Seymour being leverage to getting him to confess; she was turning the stereotypical female role upside down and she used it to dominate, rather than be dominated. Then later she goes through a marriage ceremony to get the chance to re-kill Seymour. And she was the one who made the final decision not to get the final aeon and find another way to defeat sin: Spira's history did a 180 based on
her. In a male-dominated society, she was challenging the power structures. Not even Auron could keep her in check when she made up her mind.
There are a lot of interesting female leads in different final fantasy games, and in their other franchises as well.
It aught be noted that, in general, having a lead role doesn't mean it's not a sexist role. It just generally means that there is more screen time for that role to develop, sexist or otherwise.