This term was coined by Ellen Moers wrote in Literary Women in 1977; she laid the foundation for a new way of thinking about women and the Gothic genre. (http://mural.uv.es/maseja/The%20Female%20Gothic.htm)
"Horace Walpole's The Castle of Otranto introduced the term "gothic romance" to the literary world in 1764. ... However, due to its inherently supernatural, surreal and sublime elements, it has maintained a dark and mysterious appeal." (http://personal.georgiasouthern.edu/~dougt/goth.html)
Gothic literature is a genre that deals in the macabre, supernatural, dark, and psychologically terrifying. There is generally a distressed heroine, a sense of mystery or dread, and the poetic sublime.
Female Gothic literature is that written by women. The women in these stories are extreme verions of totally dysfunctional families in which the place of females and female sexuality is unsettled. (http://www.arts.gla.ac.uk/sesll/STELLA/COMET/glasgrev/issue2/stoddard.htm)
Some examples would include Mary Schelley Frankenstein, Ann Radcliffe, The Mysteries of Udolpho, Anne Radcliffe, The Italian.