As a spin instructor, this is the one I hear the most. Many women are afraid to turn up the resistance too much because they're afraid that they'll get big thighs. The same thing goes for lifting weights—women are afraid they'll look bulky and manly if they do too much strength-training.
Actually, the opposite is true. High-intensity strength training makes your muscles stronger, which adds definition and speeds up your metabolism, which means you burn more calories when you're not even working out!
Unless you start taking testosterone supplements and consistently consume way more calories than you burn, it's physically impossible for women to bulk up accidentally. Women have much lower testosterone levels than men, which prevents them from developing large, bulky muscles.
Aside from boosting your metabolism and therefore aiding in weight loss, other benefits of lifting weights include increased mobility, preventing muscle loss, fixing posture, and alleviating back pain.