Ah, Gunsmith Cats....manga is so very much better.
And yes, Kei and Yuri were probably the first girls-with-guns, or at least the most famous. Queen Emeraldas was a girl-with-a-gun-and-a-pirate ship, if that counts. Oh, and there's Burn Up!, with Maki "Inhumanly Huge Chest" Can'trememberlastname and the crazy lady with her computer. Ignore Burn Up W and its bretheren completely. Although they both play up the comedic angle.