If you read mystery novels with a feminist lens, you can get the creepy-crawlies pretty easily. So many women victims, so many sexual crimes, so many mutilated female bodies.
Bitch Magazine has a short list of feminist mysteries here. They recommend six authors: M.F. Beal, Laurie R. King, Laura Lippman, Sara Paretsky, Dorothy Sayers, and Sandra Scoppetone. Some consider Sayers's Gaudy Night, published in 1935, to be the first feminist mystery. All the important characters in the novel -- the detective, the victims, and the suspects -- are women. More important, the main character, Harriet Vane, has an awareness of sexism in the world, and wants to do something about it. Here's the Bitch book club take on it.
Of course, the book was marketed somewhat differently in 1935 than it is today:
Library staff member "jaegerla" at the Ann Arbor District Library has put together a much longer list of mystery novels with feminist detectives, giving us some additional authors to peruse: C. Alan Bradley, Amanda Cross, Alicia Gaspar de Alba, Kerry Greenwood, Lia Matera, and Sarah Stewart Taylor.
For a really, really in-depth look at the topic, try Laura Ng's 2005 dissertation, Feminist Hard-Boiled Detective Fiction as Political Protest in the Tradition of Women Proletarian Writers of the 1930s, available in full on the open web.