Seconding Promethea! It's one of my favourites of Alan Moore's work, and the artwork (by JH Williams III, who's now doing Batwoman) is nothing short of amazing. There are also some kick-ass female characters in Top Ten (one of my other favourites).

I agree with drexer, I think it's less a case of Moore not being able to write women, it's more that Watchmen and The Killing Joke are both lacking in female leads. But if you've only read those, I can definitely see how you could come away with that impression.