Just this week, I saw a post on the Mary Sue that pointed out that in the new Scooby Doo LEGO theme, Velma and Daphne are only available in the most expensive sets. This reminded me of my own disappointment when the first Marvel Avengers sets were released: Black Widow only appeared in the largest one (the Quinjet). Among LEGO's licensed themes, female characters have always been in short supply. In some cases, such as The Lord of the Rings and The Hobbit, the property itself has a shortage of interesting women characters. In other themes, such as the DC and Marvel Superheroes lines, the LEGO Group's focus has historically been on male heroes or mostly male hero teams: Wonder Woman first appeared as an extra in a Superman set, while Storm and Black Widow only appeared in large sets that included several other team members.
In contrast, Harry Potter and Star Wars each had one major female character (Hermione and Leia) who was usually available in a set of middling size. The longevity of the Star Wars theme (the first movie property that the LEGO Group ever licensed) has made it a good source of female minifigures, though most are still limited to larger sets. One advantage of this line's popularity is the large number of characters that have been made available as key chains over the years.
LEGO key chains are a great way to acquire characters that are normally only available in expensive sets. They only cost $4.99 each, and can sometimes be found on sale for much less when a store wants to clear out older inventory. The chain can easily be removed with pliers, leaving only a tiny loop showing at the end of the screw imbedded into the figure. On the other hand, that screw means that you won't be able to disassemble the minifigure, and keychain characters never come with any handheld accessories. (I may post later about my method for removing the top of the screw, which allows the head to be removed, but renders the toy unsafe for children.)
I should briefly mention the Friends theme, which I've already blogged about recently. While almost all the characters are girls, the minidolls aren't fully compatible with standard minifigures, making it difficult to integrate the two--especially if your game isn't a modern teen drama. The new LEGO Elves theme does provide some fantasy-oriented minidolls and creatures, but the selection is still very limited.
If you have a LEGO Store in your area, then the Build-A-Mini kiosk is a useful option for acquiring female pieces. For $9.99, you can build three minifigures, with accessories, out of bins of loose parts. The selection of parts changes over time, so it pays to check the kiosk periodically for new arrivals--and in my experience, the more unusual the part, the faster it sells out, especially if female.
However, the best source that I've found for female pieces is the collectible Minifigures line. This theme debuted in 2010, and Series 14 was just released this month. (I'll be posting a review of that just as soon as I can finish collecting the last few I still lack!) There have also been a series for The LEGO Movie and two for The Simpsons, which are not counted in that number. Each of these series includes 16 different characters found in no other sets. The earliest series only included 2 or 3 women minifigures each, but that soon increased so that now most sets have 5 or 6 female characters out of the 16. Some of these women are female versions of earlier characters (such as the cave girl and Viking, and the bizarre lady robot and lady cyclops) while others are entirely original (the bee and unicorn costumes, and the fortune teller). Series 10 offered two of my all-time favorite female characters: Medusa and the warrior woman (a fierce Amazon with spear and shield). In fact, the latter impressed me so much that I immediately bought more copies of her than I have of any other collectible Minifigure to date.
(Thanks to Donald Eric Kesler of the LEGO Dungeons & Dragons Facebook group for the Mary Sue link.)