Bioware's next rpg Mass Effect Andromeda, despite being able to choose the gender of your protagonist is focusing its marketing materials thus far on a femal as default.
There is also Mirror's Edge 2 this year, a new Tomb Raider, a series called Gravity Rush on PlayStation, something I've not picked up yet but am keen to called Life Is Strange which I've heard is excellent.
Essentially a lot of the very very high profile gaming franchises like CoD, GTA (although I've heard rumors one of next protagonists in GTA VI will be female) are all extremely male demographic focused especially in terms of marketing, but when one takes a look at what gets a lot of critical praise well written female characters are much more common.
Sports games deserve a special mention also, FIFA 16 is the first in the franchise to introduce women's teams, and the recent UFC 2 game put Ronda Rousey on the box art.
I hear you on the mmo front, I tend towards playing a mix of male/female characters and you do get treated differently, although I run my own guild now, and avoid recruiting and kick out anyone sexist, homophobic, racist or otherwise unpleasant, so I thankfully don't come across it much anymore.