I've written a fantasy novel featuring a strong female character. In my heart, I see it as a feature film, but should I bother to write the screenplay? Do I have a chance?
There is no reason for you not to write the screenplay of your novel. It may not get made, but it'll definitely not get made if you don't try.
That said, there is one concern: It sounds epic -- and expensive. It's hard for first-time writers to break in with a big-budget, studio script. Smaller production companies are more open to new (and non-union) writers, but they also have smaller budgets. Bill Martell is the low-budget feature maven; if you're at all interested in writing for this market, you must check out his website, http://www.scriptsecrets.net.
But back to your novel. Here are some things to stack the deck in your favor. Not all of them are easy, not all may be things you want to try, but they're ideas that can increase your odds of success:
1) Get the novel published. Studios and production companies are always acquiring published novels; the difference between published and unpublished is vast.
2) When writing the screenplay, keep the story short and focused. Screenplays are at most novellas, not novels. Determine what you can take out and still make it work. Look at some adaptations of novels to see what they excised -- and be sure to watch bad adaptations as well as good ones. The Harry Potter series are pretty darn good adaptations of sprawling novels. Gone with the Wind, The Accidental Tourist, Holes, Postcards from the Edge... I liked all of them. Then there are others, usually killed by plodding, leaden pace and ridiculous length; learn from the bad ones as well as the good. Keep it lean.
3) Try to attach talent. Make a list of 10 actresses who would be perfect for the part and could give you the star power you need to get the movie made. Frankly, there aren't as many women who can reliably open a movie as there are men. Two weeks ago I would have said Julia Roberts and Halle Berry. Since Catwoman fizzled, that's one less power gal. Sandra Bullock and Nicole Kidman can usually guarantee a greenlight. Look also for women who are starting out and will have increasing power over the next few years. Naomi Watts, for instance, is the new hot star. See if you can get the script (once it's written) to one or more of them. Many stars have their own vanity production companies; that's a good venue for reaching them, much better than through an agent.
4) Consider partnering with someone more experienced. This is tricky; you need to make sure it's a great relationship and that they bring something (contacts, a track record, and money, ideally) to the table. No need to do this until at least after the novel is published. The person could be an experienced screenwriter, or a director or a star or a producer. But whoever it is should be several rungs above where you are in your career. You're bringing the project to the table, they're bringing their connections and craftsmanship.
5) Write something else. Write lots of something elses. Write original screenplays in addition to novels. Here's how Nicholas Meyer got his directing career: first, he wrote an original and highly commercial novel, "The Seven Percent Solution." It was published, and when a production company wanted to option it, he said sure, but only on the condition that he write the first draft of the screenplay. It was a success, and suddenly he had experience writing movies. He wrote an original movie, Time after Time -- again, both original and commercial -- and when a studio wanted to option it, he said sure, but only if he could direct it. And he did. All this took a few years, but he realized that as a creator (a writer), if he created material people wanted to buy, he could leverage it into the career he wanted, which was to direct. Keep writing. Keep creating material. Once you have a few novels and/or screenplay credits under your belt, suddenly everyone will by vying for your "early" work.