Medieval Total War for it's excellent replay value (when you get get bored with leading the English in battle, you can try the Turks instead or mod the game).

UFO:Aftermath. It's a spiritual sucessor to X-COM and it is set in the near future after an alien attack wipes out most of the human race. The story-line is well thought out and far more original than what you normally get with alien invasion type games. Also, unlike the X-COM games you never get to the point where you just can't lose a battle because the aliens keep inventing new weapons, some of which are alien applications of human technology. There's some pretty good mods and a friendly on-line community.

Colonization - a spinoff of Civilization I. I love building up by colonial empire by launching pirate attacks on rival shipping, and then fighting a war of independance.