So no guns you say... that does limit a bit but let's see:
Ga-Rei Zero - set in modern world but main heroines use swords and magical beasts to fight. Yomi is one of my all time fave characters. 1st episode might be a bit deceiving.
Kyoukai no Kanata - two leads, male and female who fight demons. Heroine uses her own blood as weapon.
Mahou Shoujo Madoka★Magica - a unique magical girl show with female leads. Weapons differ from guns to swords.
Mai HiME - Kinda similar thing where main heroines have different type of weapons like fire attacks, guns, spears and etc.
100% Seirei no Moribito.
Shinsekai Yori - set in far future where people use psychokinesis.
Soul Eater - fantasy/action with female lead.
Toaru Kagaku no Railgun - ideally you should start with Index where there is male main lead since Railgun goes parallel with it and focuses more on Misaka Mikoto and doesn't go too much in depth with some of the things. But can be watched on its own too.
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