Annie Oakley

Probably the "classic" historical woman associated guns, Annie Oakley might also be the one with the most portrayals in movies and TV. According to IMDB, she was portrayed by 19 different actresses; including, Barbara Stanwyck, Ethel Merman, and Jamie Lee Curtis to name some notable ones.

She's also one of the few historical chicks with guns to herself be captured on film.

Bonnie Parker

Bonnie Parker, the prettier half of Bonnie and Clyde. She was played in movies by some truly wonderful actresses: Dorothy Provine in The Bonnie Parker Story which I have not seen; Faye Dunaway with Warren Beatty in Bonnie and Clyde, which I really enjoyed; and by Tracey Needham in Bonnie & Clyde: The True Story, with Dana Ashbrook as Clyde.

Roza Shanina

I'd never heard Roza Shanina before the post on /r/historyporn, but she's very impressive. The "unseen terror of East Prussia" during World War II.