Elaine May (Mickey &amp; Nicky) 

Sandrine Bonnaire (Sabine) , I haven't seen the film though, although the reviews
                                          are good

from the Berliner Schule

Angela Schanelec (Passing Summer, Marseille)
Valeska Grisebach (Longing)

On a note: I just realized that some directors with female-sounding
names aren't female at all. Examples: Idrissa Ouedraogo, Flora Gomes,
Karen Shakhnazarov  <!-- s:lol: --><img src="{SMILIES_PATH}/icon_lol.gif" alt=":lol:" title="Laughing" /><!-- s:lol: -->