It depends on the context. If you are referring to her in the 3rd person, that is to say instead of saying "she," you would say this/that woman. Then either "woman" or "lady" is fine, but "lady" might be seen as more polite as "lady" implies a higher degree of sophistication. If you are using the 2nd person, that is, instead of "you," you say "woman/lady," both of these might be considered rude. In that situation, "Miss" (ms.) or "missus" (mrs.) would be more appropriate.