Hm. I'll admit the amount of fantasy
literature I've gotten around to is relatively low (I'm much more familiar with fantasy movies and games, video- and otherwise). Of course, I've read Tolkien plenty, and I think I'd be hard pressed to find one I like more than Luthien - she's someone I find it easy to identify with, or at least aspire to be like.

You'd think the lesser fantasy authors who are so quick to copy him would also copy the active, interesting female characters who aren't just stereotypes or hangers-on for the men who are the real focus of their stories, but it's not like that's even the most obvious of their writing problems.
Elsewhere... hm. Eilonwy from the
Prydain Chronicles is the only one I really liked that I can think of off the top of my head, but of course that's in my very limited experience. Maybe Bradamante from
Orlando furioso if we want to include the medieval stories that led to fantasy as well, though she's kind of a minor example even then - mostly I'm just impressed that an interesting woman knight actually showed up in medieval literature at all, the period may not have been as bad for women as many of the stereotypes assume but it wasn't exactly anywhere near our time as equality goes either.

As far as intimate relationships... none of the books I've read have been very good at that, really, for either meaning of that term...
(Do the in-game books from the Elder Scrolls series count? Because I'd add in Barenziah in that case.)