Civ 4 - Realism Invictus mod or Pies Ancient Europe mod
Colonization 4 - Religion and Revolution mod
Arma 2/3 - Cold War Rearmed mod for Singleplayer, ACE 2 mod for Multiplayer. For Arma 3 just vanilla 3 or if you like Project Reality, TacBF.
Paradox Strategy Games - I've enjoyed most of them, so take your pick.
Total War Series - Kinda fun, can get boring easy because the AI is so incompetent though. Play AGAINST a friend for maximum enjoyment, none of that coop shit.
Men of War series - Assault Squad 2 for multiplayer, though you could always pirate the other games and play LAN through Goyranger or some sort of tunnel network program.
Now getting into the more obscure titles that I figure won't be mentioned in this thread otherwise.
Rule the Waves - A small game, big fun. Play as a nation at the turn of the 20th century and control your nation's naval policy up till the 50s. Design and build boats of just about any class, with every engagement being a roll of the dice, countless hours of fun if you're at all interested in Naval warfare.
Jagged Alliance 2 - 1.13 "Patch" A community made super mod that basically turns the old game into something it always wanted to be.
Killing Floor - There's still some servers that are fun with good mods. Though the original game is worth a whirl if you haven't played it already. Mods include cute touhou and neptunia player models.
Sven Coop - Autism simulator 5.4, Holla Forums still has a serb up and this game has its moments still. Sometimes the fags over there use the game as an oversized chatroom and organize other games to play, you can join in if you're not a faggot.
IL-2 Sturmovik 1946 - A flight combat simulator with the most content available for any flight sim. Fly with biplanes from the first world war, or Jets from the Korean era, pit them up against eachother for the lulz. If you want to play a multiplayer version, go for IL-2 Cliffs of Dover. It has significantly less content, but its detailed as fuck and fun as fuck online.
Close Combat - Old series that's still being rehashed by Matrix Games or some other goy company. Fun RTS game with a strict top-down view and charming Sprite graphics.
Combat Mission - I don't play much of the new versions because I was so turned off by Shock Force, but the old Barbarossa to Berlin or Afrika Korps or Operation Overlord are some fucking stellar games. Get a friend to play that with you and be prepared for some of the most equally fascinating and frustrating gameplay. (Frustrating because you're a shit leader and didn't give your platoon arty cover, now they're caught out in the open with over 50% casualties.)