I thought calling to somebody "Lady" (ex.Lady, you dropped your key! orHow are you doing, lady?) sounds polite, but some dictionary says "used when talking directly to a woman you do not know, when you are angry with her" in American English. (from Longman Dictionary) Is this description in a dictionary always true, or does it just depend on situations?
I agree with the Wikipedia entry on this in regards to its usage as a form of address:
... in polite English usage "lady" has for centuries only normally been a "term of address" in the plural, which is also the case for "gentleman." The singular vocative use was once common but has become mostly confined to poetry. In some dialects it may still be used to address an unknown woman in a brusque manner, often in an imperative or interrogatory context, analogous to "mister" for an unknown male: e.g., "Hey, lady, you aren't allowed in here!"
So, "ladies," plural, is polite, but "lady," singular, is not, at least not as a form of address. It may be angry or interrogatory in some situations, but it is often simply brusque. "Ma'am" or to a lesser extent "Miss" should be used instead.
Note that "form of address" above means in the second person. There is a big difference between talking to a lady and saying "Lady, what are you doing here?" and talking about a lady, as in "she is a little old lady" or "my lady friend." Interestingly, the connotation completely changes when using "lady" as a descriptor instead of as a form of address, and in these cases it is a polite term meaning something akin to 'classy and well-regarded,' referencing its history as a title among nobility.
It depends on the way a character is saying it. The phrase "Hey, lady!" wouldn't sound rude at all if paired with a speaker tag or sentence at the end/beginning to clarify. For example: "Hey, lady!" he shouted into the alleyway, trailing behind some few paces away to see if she needed any help.
Something or other, besides, I'm like fourteen so I hope this wasn't too err bad?
Hope this helps.