At the risk of sounding like a total nerd...

I loved Kate Mulgrew as Kathryn Janeway on Star Trek Voyager. She did a very good job at making the character convincing. Her acting really helped me get into the show a lot more than other Star Trek series (No I'm not sparking a what captian is better debate )
Another convincing role that comes to mind is the lead female role in the first (the VERY first) Night of the Living dead movie. She really had you going that she was in fact, the dumbest woman on earth.