There's a reason I'm cosplaying as Saber, haha. I admire her so much for her strength, honourable ways, loyalty, and persistence with pursuing her goals and trying to protect others in the face of great pain and hardship. She also turns some gender role crap on its head by showing that a girl can be both a king and a knight. heart
I second Utena for all the reasons Milady Alluca stated. A girl can be a prince just as much as a king, similar message. Roles of action rather than inactive damsels in distress waiting to be saved by a male protagonist.
Almost all the warriors in Claymore. Those women are tough, awesome, persevere through horrible treatment by the men of the organization they originally served, and, like the others above, give a lot of traditional notions of gender the boot. And even though I think the series' wikia site states that most of them are still technically in their late teens, they're generally drawn as grown women with some muscle, and characters like Miria, Galatea, Deneve, and Ilena in particular seem to show a lot of maturity and responsibility. It seems that way to me, anyways. Like, it's refreshing to see a series where characters don't look/act like typical young skinny teenagers.
Homura Akemi for how desperately hard she tries to save her best friend, Madoka. I feel for her so much.
As well, not every character has to be a hero in order for me to deeply respect them. I love intellectual characters who demonstrate great knowledge, wisdom, capability for ingenious strategizing, etc., like Kurisu Makise (Steins;Gate), Bear (.hack//SIGN), Sinon Kouzuki (Starship Operators), Yukino Yukinoshita (My Teen Romantic Comedy SNAFU), and Tomiko Asahina (From the New World).