I'm not going to name any female characters in the game or any characters that have been mentioned yet so here's my list: (naming them from 3 to 1, with number 1 being my most wanted character. Also, they may not be "exclusive" but hey, Big Daddy got in the game and he's a third party character.
3. Lara Croft from Tomb Raider
2. Jade from Beyond Good and Evil
1. Alice from Alice: Madness Returns
Even though none of them will probably get in the game, I can dream.