Crusader Kings II - Needs no introduction.
EUIV - Yeah nothing unique 'bout this opinion.
Victoria II - The third sister of the Paradox franchise trio, Victoria II is fantastic but direly awaiting a sequel. Probably the best balanced of Paradox games.
Distant Worlds - Not a Paradox game but close. Procedurally generated empire building in space, with great potential for modding.
Dawn of War (Soulstorm with mods) - Still the best 40k game there's ever been, with mind blowingly good modding community. Soulstorm is generally regarded as the worst expansion but you need it for the fantastic mods.
War of the Human Tanks - Quirky turn based game where your tiny Moe-Moe "Human Tanks" (who have no human rights) squeak "It doesn't hurt at all!" in Japanese as they carrying out suicide bombing missions against the enemies Moe-Moe "Human Tanks". The plot involves a war between the Empire and the Kingdom of "Japon", and many, many anime cliches.
Long Live the Queen - CK2, the magical girl anime! Well, not exactly. You will be assassinated a lot though - as that's the whole point of the game it seems. You play a pink haired innocent looking (to begin with) Princess and try to survive till coronation. You will die, a lot. You have to choice between various types of skill sets to overcome certain challenges, either turning the pink princess into a angry pink warlord, miserable pink magic using nun or two prim and proper... errrm, actual traditional pink princess who knows how to use courtesy and reject marriages properly and shit (you'll probably lose the war though).
Touhou - Cult Japanese game series made by one lone alcoholic man who does all the music, character design, story, art and programming himself. The music, through primitively instrumentalized on tinny computerised trumpets, is probably good enough that in a another era he would have been a successful composer. Fan-made Touhou music comes in all genres and levels of quality, from J-Pop, rap, eurobeats and punk to Classical, Jazz and the
motherfucking Charleston. The games are fiendishly difficult, with relatively endearing characters (who the fandom gleefully flesh out in all manner of ways). The one thing that sucks is ZUN's art, but given the size of the fandom every rubbish character he draws is replicated in amazing quality by fan artists a million times over. Probably as famous in Japanese geek culture as, I dunno, DnD or Firefly is for Western Geeks.
Analogue a Hate Story & Hate Plus - Two visual novels about a derelict Korean space ship that was drifting in empty space for far too long. You encounter no living creatures, only anthropomorphic AI constructs who offer to help you sort through the private emails of the dead, but who are not quite what they seem. Trigger warning: Feminism.
Command and Conquer: Red Alert - Any of them, 1 2 or 3. It was Red Alert that got me into strategy games in the first place. Amazing series with a great sense of humour and terrific gameplay.
Emperor Battle for Dune - Sadly, the last of a series of groundbreaking RTS games that practically invented RTS, Emperor Battle For Dune is a treat both for Dune fans and RTS fans. Similar gameplay to Command and Conquer, only 10 times as hard. Totally unfaithful to the original books in a way that's more funny than annoying and obviously borrowing it's aesthetics from the David Lynch film, its sort of like a Dune fan-fiction plot wise.
Republic the Revolution - A rather unique game whose sequel was sadly cancelled in pre-production, Republic the Revolution puts you not at the head of a nation, army or dynasty but as the leader of a revolutionary political party in Ukrain- I mean, Novistrana. Republic the Revolution had a very innovative and original gameplay style, and the world portrayed in it felt real and authentic despite the fact that the people in were speaking the Eastern European equivalent of Simlish. Republic the Revolution also had a pretty solid moral dilemma system for it's time, one based not on a arbitrary spilt between good and evil but between the competing forces of influence (traditional party politics), force (violence) and wealth (big money politics). Recommended for the politically inclined gamer.
Total War series - rapidly degenerating franchise that once was fun for me... before the Paradox nation attacked. Now I can barely play two turns without get bored with the ridiculously shallow campaign map mode. Unfortunately, all the best real time battles happen in campaigns, so I've uninstalled them all and relegated them to memory.
Starcraft - Fucking Starcraft man.
Warcraft III - Best map editor there's ever been, bar none. Starcraft II map editor is faaar too hard to use in comparison, however powerful it is. Nice base game too.