Iman, gentlewoman is correct but not common, I have heard sometimes, it is used sarcasticly. And I agree with the Anonymous. but lady is more polite than guy. As you can say they say; You have to treat my daughter like a lady. The above sentence indicates that lady is a very polite word.
'Woman' is often used, in my experience. eg A guy phoned for you, but I said you were at lunch. eg A woman phoned for you, but I said you were at lunch.