Yeah Perfect Blue is a good film. I really liked it - quite strange to be honest, its not like any other horror film I've ever seen but it's good.
Random fact: In the Perfect Blue dub, Mima's band's songs have been dubbed into English. However, theres a scene mid way through of a stereo in a lift, and the song being played is one of her band's songs - but it's still in Japanese. Found that interesting.
For me, series i'd suggest as being heavily female orientated (character wise) are My-HiME and the movie Kiki's Delivery Service.
Kiki's Delivery Service deals with a girl coming of age and moving away from her family, establishing a new life for herself and becoming as self sufficient as she can, so it's interesting from that perspective.
My-HiME on the other hand has almost entirely female principal characters, all of whom have some form of struggle or difficulty which is revealed over the course of the series. These things range from having to look after family to unrequited loves, potentially mental instability etc. It's a good series though - one of my favourites, I'd definitely recommend it.