At the risk of replying too late for any of the original interested parties to take notice, I've found the female characters in George R. R. Martin's A Song of Ice and Fire series to be particularly compelling.

I confess that I've never looked at the question in terms of an author displaying exceptional understanding of the opposite sex, but rather their ability to express insight into other people who are distinctly not them, but Martin's gotten rather high praise for his female (and male) characters from many sources, so perhaps some of them were looking at the issue in this light.

She's Come Undone by the male author Wally Lamb has been praised for its utterly convincing portrayal of its female main character.

I've never read it.

I hear Memoirs of a Geisha has a good female lead written by a male author.