Frus - you shouldn't ask me about saddles - I have read an awful lot about them and I can't stop myself from informing anyone who asks. I apologise in advance!
I'm now on saddle no. 5. Women have problems with saddles, they seem to be specifically designed to injure the soft genital tissue we have
. If you ride an upright bike, like a mountain or hybrid bike, you would probably never have this problem, but a road bike with its low aero bars means that you will be leaning on these parts and with the movement of your legs and bumps in the road you can often rub yourself raw
If this is something that happens with your saddle, it should just go in the bin (or ebay!). You can do things to reduce rubbing, such as no pants
or things with central seams, and some ladies swear by lubrication. Because I ride for 30 mins each way at quite a good speed and get very sweaty, I take a change of clothes with me so I can use padded cycle shorts with the no underwear solution
I do have nightmares about leaving my pants at work though! It is recommended that the saddle be kept absolutely level, but women often find it more comfortable to tilt it slightly forward to relieve pressure on the nose. The problem with this is that you put more weight on your hands and this can cause shoulder and lower-back pain.
The other type of pain is pain in the sit bones. Anyone new to cycling, or who cycles only once every couple of weeks will get pain in the sit bones. Once you have been doing it for a while it will get better. However, that doesn't nessesarily mean that the saddle you have is right for you. Womens' sit bones are further apart than mens so they often need wider saddles. The sit bones should be resting on the saddle, not either side of it, if that is the case the saddle is too narrow. A firmer saddle is also better long term. If you only use the bike once a week for a 2-3 mile trip into town a big squishy saddle will be fine. But a squishy saddle means that you will be putting pressure not only on the sit bones, but on all the soft tissue around it, which can be very uncomfortable on a longer ride or if cycling every day. A saddle with a wide nose can also mean that you rub your thighs against it which is also pretty unpleasant on a long ride. Like mattresses, firm is sometimes better.
The problem is that all women are different so there is no telling which saddle will work for you. Some women have very wide sit bones, and some have narrow sit bones and therefore find mens' saddles more comfortable. Some good bike shops will let you try out saddles before you buy, but the range of womens saddles will often be pathetically small. Better makes of saddles often come with a money back guarantee if you don't like them. I've given a description of the saddles I've used below, but as you'll see, some of the ones that I have hated, have come very recommended by other women, so you will probably have to try saddles out for yourself.
First saddle was the Bontrager mens one that came with the bike. Very bad. Within 3 weeks I had bought a new one.
Second was a specialized women's mountain-biking one (about £20 - only one in the local bike shop). I used that for about a year but never found it comfortable either on the sit bones or the nose.
Third was really funny shaped one called a Selle SMP TRK Ladies (about £20) with a very large hole in the middle and a very dipped nose. This was recommened and much loved by a large number of ladies on the team estrogen womens cycling forum. However I found the hole very uncomfortable, the pressure on either side of the hole was too much for me and I only used it for 3 rides.
Fourth was a Brooks B17 Ladies (around £35), the ultimate touring saddle, again recommended by a large number of cyclists. Really tough, strong leather that will be often be very uncomfortable at first, but over time it will mould to fit the contours of your behind and be incredibly comfortable. If looked after (can't be left in the rain and needs "proofhiding") it should last for a very long time/for ever. Unfortunately it was also the most uncomfortable saddle I have ever owned. I can put up with a bit of pain round the sit-bones and it wasn't too bad here, but the nose... Lets just say it wasn't good. It was also incredibly slippery which gave me shoulder pain as I had to use my arms a lot to keep myself on the saddle.
Finally I have gone for a Terry Butterfly (£75) my most expensive saddle, but the one that seems to work. It has a hole, but not too large. The saddle has a bit of padding and has a wide rear, but not wide in the middle or nose so that it doesn't rub my inner thighs. No rubbing on the nose, but there is still some pressure when I ride in the drop position. Not supposed to last forever, as the soft foamy stuff gets compressed with time, but I'm happy for now. I've still got a little pain around the sit bones, but I've only had it for about a week, so my bottom has to get used to the different design. However it is already getting better in this area.
Hope this helps (and that you'll forgive me for the length of the reply!)
I don't think I should push my luck! 
Wonders will never cease! 
I'm bored out of my brain at work today
One day I'll weigh in, but not for a while yet!
and I am blistered 
