Total Annihilation and SUPCOM. And soon Planetary Annihilation
Besides that I guess Civ III-V and Alpha Centauri

Age of Empires 2 :) Also Total War series is great, as well as the old LOTR The Battle for Middle-Earth 1/2 :P

Tzar!

Heroes of Might & Magic Saga :D

Master of Magic for singleplayer, Civ IV BTS for multiplayer.

I like Fire Emblem games

My most beloved games are Supreme Commander series and Dawn of War series.
I had played SUPCOM so much during its time that my wrist started to become painful and my fingers became numb (Carpal Tunnel Syndrome).
RIP THQ...

Starcraft 2, because it has SOOOOO MAAAANY mods :)

Stronghold Crusader

Heroes of Might and Magic III, Age of Empires(any of them), Stronghold: Crusader and WarCraft 3. Can't decide between those 4.

Fire Emblem and XCom for the permadeath of units

Probably Frozen Synapse, but I'm not too much into strategy games...

Red Alert 2: Yuri's Revenge. Play it in Brutal / Hard and watch your base get annihilated in the first 5 minutes. :)

Red Alert 2: Yuri's Revenge

all RTS games :D

TBS: Civ V.

RTS: Age of Empires, Company of Heroes and Command Conquer Red Alert 2 can't choose between them really :P

There's a number of them: Dota 2, Warcraft 3, Age of Empires 2, Heroes of Might & Magic 3...I guess Fire Emblem would be included there too, but I haven't played much of it compared to the others.

Hmm, used to be chess or go, but maybe something like Europa Universalis series.

Never actually played one to the end date, though. If you don't get destroyed in the beginning as some tiny country, at some point you reach whatever goal you set for yourself, or get too strong to lose a war, and there's no point to continue playing. But it's a lot of fun before that happens. :)

Didn't see Eador Genesis mentioned yet. Haven't got around to fully exploring the new one, MotBW. Just gettng into Skyward Collapse, Expeditions: Conquistador and Towns.
And then like others have mentioned, Civ 2 and 4 BtS. MOO 1/2. MoM. SMAC with Alien Crossfire. I enjoy the Tropico games too.
Have yet to try Brave New World but that should put Civ 5 on the list. Same thing with Legendary Heroes for FE.
TBStrategy is my favorite genre so I play as many of those games as I can, time permitting. Used to also like RTS but less and less as I got older.

I really like the older Command & Conquer and Red Alert games. Also played a shitload of Total Annihilation and Earth 2140 when they where released.

I rarely play with strategy games because of the same reason as the first one to reply, but there is one strategy game I've played and finished, and that was Warhammer 40k: Dawn of War. Awesome feeling, interesting story, and not too hard ofc. Oh and Heroes of Might and Magic III back in the days (tho only in hot seat or costum campaign).
Also if XCOM: Enemy Unknown and Clash of Heroes count, then tose too, but those aren't the usual kind of strategy games.

Civ V and Crusader Kings II :)

Command and conquers red alert ps2, because it was.

Command and conquer 3: Tiberium Wars.