In addition to the eldest daughter of King Lear:

Cordelia Gallowglass
Third child (and eldest daughter) of Rodney d'Armand and Gwendylon Gallowglass in the The Warlock series by Christopher Stasheff
Cordelia Naismith Vorkosigan
Mother of Miles Vorkosigan in the series of that name by Lois McMaster Bujold
Cordelia Chase
Character played by Charisma Carpenter on the WB TV shows Buffy and Angel, written by Joss Whedon.
Cordelia Ransom
Evil demagogue in the Honor Harrington series by David Weber
A satellite of Uranus
Discovered in 1986
Anne of Green Gables
What she wanted to be called ("Lady Cordelia de Montmorency, abducted by gypsies when (she) was three"), before settling for Anne-with-an-E. -Thanks to Gritchka and caknuck
No, my real name isn't Cordelia. (In fact, my name is cordelia, not Cordelia. The story can be found on my homenode.