Some fans of this genre are attracted (in a strictly artistic way! :-) ) to female characters on the dark side of the moral spectrum. Others, like me, are much more drawn to the pure-hearted heroine types; but for all of us, I think the figure of the dark-souled antiheroine, or even the outright villainess, does exert a kind of fascination that male villains don't evoke. (Of course, we're a gendered species, so both male and female readers respond differently to female characters than they do to males.) Partly, IMO, that's because we all have a dark side, a fallen nature; seeing it expressed in a character, we recognize it in ourselves, and know that recognizing and naming it is an essential prerequisite for controlling and defeating it. And if a female action character has moral struggles with her dark impulses, we can relate and sympathize. Then too, a defaced and twisted gold coin still glitters. An action villainess has many of the same qualities as an action heroine; she's typically gutsy, strong, resourceful, smart, decisive, and self-reliant. We can see in her the echo of the woman she could have been if she'd made better choices, and we tend to respond to that. And while there's life, we can also hope for her reform and redemption --Xena's a great example of a villainess turned heroine!
One of the better examples of this type of character to come down the pike in recent fiction is Clara Rinker, a major character in two novels, Certain Prey and Mortal Prey, in John Sandford's long-running Lucas Davenport series. As a professional hit woman, she's certainly a villainess; but she's an extremely vivid, three-dimensional, memorable character, who well illustrates some of the factors mentioned above. Also, as bad and ruthless as she can be (and that's quite a lot!), she's not a simple personification of unaduterated evil; she's also got her genuine good qualities, which shine through at times and make her more interesting. Like all of the Davenport series, apparently, these two books do have a major problem of bad language (some of it used at times by Clara herself). But if that doesn't bother you, or if you can ignore or overlook it, Clara's definitely one character you won't soon forget!