Have you tried Warhammer 40000: Dawn of War? If you like Warhammer, you may enjoy it - although it's not fantasy. It's basically an RTS, but has some nice gameplay features (no resource gathering) and more tactics (rock-scissor-paste) that make it bearable. It's lovingly made - gorgeous graphics, characterful sound, high production values etc - and anyone who likes Warhammer should fine those appealing. The demo is worth downloading for the opening movie itself.

Beyond that, can you give any more information on what games you like? It sounds you are looking for a Total War clone and these don't really exist right now. (Imp Glory does not count!) The recent games I've enjoyed most have been RPGs - specifically Star Wars: Knights of the Old Republic II and the criminally under-rated Vampires: Bloodlines which is jaw-dropping.

Two old strategy games I keep coming back to are Imperialism II and Jagged Alliance 2. Imp2 has a recent thread here. JA2 is the best turn-based squad-level tactical game of all time, IMO, and has wonderful RPG/strategic elements.