I'm somewhat in favor of the faceless protagonist as sort of a modern iteration on the SNES-era silent protagonist - for example, Samus could've been anyone, and the game points this out by surprising you with the fact that she's a woman at the end of Metroid. Master Chief could be a member of any race.
However, that tends not to lead to truly memorable protagonists, just easily-sympathetic ones.
Anyhow, when it comes to female main characters,
I'd love to play as a less-sexualized sort of female assassin in an American noir setting - a femme fatale, perhaps, but one who might choose to use her sexuality as a weapon, or who might precisely be seen as unthreatening by others precisely because she's a woman, but would actually be quite dangerous and assertive and sort of a lone-wolf type. Something like a mixture between L.A. Noire and Hitman with a female protagonist.
Or I'd love to play as The Boss and include a genuinely harrowing section where you have to run and crawl through a battlefield to find a safe place to give birth. <3
I also wouldn't mind a Wii game with an Indian protagonist wielding an urumi.
http://en.wikipedia.org/wiki/Urumi