On the same Sci-Fi yilk that was brought up by Karyn and Celine, I love the women of Firefly. Zoe, especially, is a favorite of mine.
I also have always thought of Aeryn Sun from Farscape (Farscape is another Sci-Fi series with some strong, lead women roles) as one of my favorite women protagonists. (I think, as far as a genre goes, Science Fiction has been stand-out in presenting stronger female characters. Stargate SG-1 had a very strong female lead, and while I haven't watched it myself, the Battlestar Galactica miniseries was supposed to have at least one strong woman-lead. And while highly male-dominated, the various Star Trek series have had some stand-out women.)
My dad started reading me Lord of the Rings when I was a little girl, so I've grown up a complete Tolkein-ite, and I have always ADORED the character of Eowyn. I though Miranda Otto did a phenominal job in her portrayal of the character in the films.
I have also always been a huge fan of Carol Burnett and Lily Tomlin- strong, sensible, intelligent, FUNNY women!