There are some good female villains that tend to screw up the protagonists badly, like Nassandra in Dark Souls 2, Excella Gionne in Resident Evil 5 or Bloody Mary in The Wolf Among Us.
There aren't, however, many iconic female villains. I guess...Mary/Maria in Silent Hill 2 impacted everyone who played it? And it's not a villain per se. Someone already mentioned The Boss which is an awesome pick.
Final Fantasy 8's Ultimecia would be my choice.