Sofia Coppola is the only one I can think of with an Oscar nomination and Amy Heckerling is the only other female director I can think of who’s done more than one or two movies.
Any others?
Well, I don’t know if Sofia got a nomination for directing; if not, I meant her movie got some nominations.
Leni Riefenshahl is considered one of the best directors ever, though she has been criticized(rightly) for making Nazi propaganda films.http://www.leni-riefenstahl.de/eng/bio.html
Nora Ephron directed “Sleepless in Seattle” and “You’ve Got Mail”
Penny Marshall has made quite a few movies, too.
Um. Penny Marshall.
Norah Ephron.
HA! Beat you!
Yay! My first simulpost! 
How about… [ul]
[li]Susan Seidleman[/li]
[li]Martha Coolidge[/li]
[li]Penny Marshall[/li]
Nora Ephron[/ul]
Stupid slow computer!
::kicks hard drive::
::howls with pain of stubbed toe::
Ok, ok… gotta make up for the ones already mentioned…Lina Wertmuller!
There are many more. I limited the list to directors currently working, who have directed more than one film.
Exapno Mapcase was pretty thorough. A couple more:
Barbara Kopple, a great documentary filmmaker.
Claire Denis, director of fabulous and artsy French films.
Good work, Exapno Mapcase!
I’ll add Pratibha Parmar.
Oh, and Agnes Varda.
Gurinder Chada, most famous for writing and directing Bend it Like Beckham
Ida Lupino directed seven feature films (none of which I’ve ever heard of) and quite a lot of TV.
Candida Royale directed a number of soft-core porn features, if that’s germane.
Two more!
Sofia is the first American woman to get an Oscar nomination for directing. The only other two to get nominated were Lina Wertmuller (Seven Beauties) and Jane Campion (The Piano), both mentioned by Exapno Mapcase.
Here’s an entire Index