When I saw the thread title, I immediately thought of Milady from
The Three Musketeers. She's just so...conniving and interesting....and runs circles around the gents

.
Hmmm, I found myself interested in Scarlett's youngest sister, but I only made it to page 600 of
Gone with the Wind, so I don't know what became of her. I thought it interesting that she went through a "world turned upside down" even more than the rest of them. But she is a very minor character, so not all that developed.
I think that Orson Scott Card's Patience (in
Wyrms) and CS Lewis' Orual (in
Till We Have Faces) are both interesting 'tough' women. They are very similar, actually...women (written by men) who are very caught up in political intrigue. There is something very trained and calculated about them, so that they come across as a bit masculine, but still very much women. I like them
Charles de Lint writes women as if he were a woman. I do not know how he does it, but I have found all of his characters convincing. Some of them are pretty extreme, too, and he still pulls it off....
I don't think evil characters are most interesting...I think conflicted ones are. Not the ones that you want to slap some sense into, but the ones who struggle with what they ought to do. Tension is very realistic, and much more engaging than just floating by on a cloud of virtue.