Elizabeth in BioShock Infinite is probably my favourite. She starts out as the damsel in distress, a trope that you'd think should be avoided at all costs when making a good heroine, but becomes so much more after going a real transformative journey. I think it also helps that she has so much more life and spark and depth to her than the protagonist, a standard generic brown haired stubbled man.

Also from a gameplay perspective she is the perfect escort mission - she does not need your help whatsoever and her AI is brilliantly intuitive in knowing when you're in a critical moment and desperately need more ammo she'll throw it right in your face. Her own powers are majestic too.