I can't believe that no one has mentioned Honor Harrington! Assuming you like a little sci-fi, too. They're by David Weber who takes Honor Harrington (the protagonist) from hesitant commander to bold admiral in a very believable way. Well, okay, it's a little fantastic, but isn't that what fiction is for? Regardless, lots of facing personal demons and then kicking the enemy's butt.
I second the recommendations for Anne Bishop, Trudi Canavan, and Jacqueline Carey. Bishop in particular writes strong and believable characters.
I would add the following authors:
1 - C. S. Friedman, who writes sci-fi and fantasy. Her current trilogy (2 books out, 3rd due late this year) has a strong, ground-breaking female anti-hero protagonist.
2 - Kate Elliott. I'm in the middle of her Crown of Stars series (7 books, all published) and all her female characters are well drawn, both strong and weak.
3 - Brandon Sanderson's Mistborn Trilogy. The main character is a girl named Vin who grows very believably from runaway to hero... and that's just the first book. :-D
4 - Anne Bishop... I just have to mention her again because her books are awesome. Her characters Jaenelle, Morag, and Ashk in particular. The series are called The Black Jewels series (start with Daughter of the Blood) and the Tir Alainn trilogy. :-)
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