The Age of Empires series is a pretty good set of strategy games. Hearts of Iron 3, Supreme Ruler 2020, Europa Universalis II to III, the Starcraft series, Patrician IV, The Guild II, R.U.S.E., Sid Meier's Civilization series, & the Settlers series. Or if you're feeling a little nostalgic, Silent Storm, & X-COM. And if you feel like you want to play a strategy game that will litterly tear you to pieces, Dwarf Fortress.

Medieval 2 Total War: Kingdoms Expansion has a campaign set just prior to the Third Crusade... it's brilliant.

Rome Total War is similarly delicious.

But those are blends of turn-based strategy and real-time... which do  you prefer?  The Galactic Civilizations series and the Civilization games are turn-based gold, but for RTS, there are many options.  In addition to the traditional, gather-build-attack games (like Starcraft/Command & Conquer), there are combat-only variants where the focus is battlefield command, like World in Conflict, and games which are more like city-planning/management simulations, like Pharaoh/Cleopatra, or something like Sim City 4.

Dwarf Fortress is incredibly entertaining, but at this point, rather broken.  It's "fun," but in a very specific way (the entertainment is largely derived from watching all your carefully laid plans defeated by a game riddled with bugs and design flaws).

Good luck in your search!

Dunno how I forgot that one, Gryll. Great game.

Also: Command and Conquer. Anything before CC4 is great.