I have 4 DD's (all under 10 so can't say whether or not my approach is working just yet!) so this is something I am very conscious of.
We read lots of books together with positive female role models (both fiction and non fiction)- grace for president, princess smartypants, Rosie revere engineer, girls are best, goodnight stories for rebel girls, fantastically great women who made history.
We've squashed the gender confines of toys and activities- as well as baby Annabel and a play kitchen, in our play room you can also find plenty of cars, doctors sets, science kits etc. As well as their 'girly' activities like ballet and gymnastics, DD1 does karate and DD2 plays football- two things I desperately wanted to do as a child but my mum wouldn't let me because they were for boys!
DH is useless at DIY so every time there's a shelf to be put up or door to be oiled I do it and I get the girls to 'help' me. We share tasks like washing and cooking so from an early age I hope that the girls have watched their dad do what are traditionally 'female' tasks and accepted this as normal.
We make sure our praise doesn't just focus on their appearance. Often when I'm reading the girls stories we'll have discussions about why things were harder for the women in the historical books compared to now etc and I make sure to praise them when they contribute with things like 'well done DD1, that was a really thoughtful point you made'. When they're playing with lego I'll tell them their building is brilliant. Tiny little things that I'm sure every parent does, but when we're out and about visiting family and friends they often get told what 'pretty little girls' they are rather than 'how big and strong' their getting like they would be if they were boys, so I try extra hard at home to praise other things to compensate.
I encourage them to get excited and involved in STEM subjects. We frequently visit the science museum and wellcome collection on Saturdays, and at Christmas and birthdays they often get lots of science based 'kits' to play with.
I never talk in self depreciating terms about myself around the girls. Kids pick up so much about body image from parents without even realising it, and we are our daughters biggest role models. Ive always suffered a lot with my body image but when I have negative thoughts I stamp all over the voice by saying 'I would never tell my daughters X,Y,Z so why am I saying it to myself?'. I try to exude confidence around them and speak about my body with pride.
I teach them about my job as much as possible. During half term DH often brings them to my shift change-overs so they can see me in my uniform and come inside the ambulance. When I was younger I worked in the media sector and have lots of successful female friends who still work in it, one friend in particular runs her own production company and over Christmas she let my eldest daughter spend the morning with her at work to see how things are done. My mum was a stay at home mum and growing up I didn't really know any women who worked, and this led to a huge crisis of confidence when I left university, so it's important to me that my girls have lots of working female role models.
Those are the main things I can think of. I'm looking forward to getting some more ideas on this thread!