Shovel Knight! He's like Ye Olde Mega Man, taking on Propeller Knight, Tinker Knight, Polar Knight and such. Shield Knight is a friend. I believe she teams up with you at the end of the game, blocking stuff, I imagine. (My brother has the game; I don't.)
I checked out a video of the end boss in Shovel Knight. Shield Knight is actually pretty awesome as a strong woman character. What's funny is it's not that serious of a game, but the story is solid.
Also, I was just on DA and someone replied to a comment I made months ago. Apparently, I have this view on keeping feminism feminine. (Original comment below.) That is, I might depict a strong woman differently than I would a strong man, but more along the lines of visuals, personality and all that. I think Nebezial's depiction of She-Ra, entitled "she-ra.....WILL KICK YOUR ASS!!!!!", fits in with my line of thinking regarding what is physically possible in fantasy. Y'know… for a girl.