Westerado: Double Barelled also has an unlockable playable female character. The game is (unfortunately) not yet on GOG, however.
Hope this helps.
Were you only asking about PC games, or also about console games? Red Dead Revolver had a playable female character for a few levels. You could also play as the same character in Red Dead Redemption's multiplayer with one of the DLC packs.
It's here now. :D