Play Arts, the action figure branch of Square Enix, are making some Bayonetta figures. A quick comparison between the size of the head and the size of the hips shows they're definitely on the right track.
These were on display at the Tokyo Game Show last week, though both a price and release date are TBA. There were two figures shown; Bayonetta herself, and Jeanne, below.
Tokyo Game Show 2009 - Square Enix Goods [Tokyo Hunter]