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Oh fun, a favorite games discussion. As usual, I will be verbose.
In no particular order, except maybe chronological:
1) Desperados: Wanted Dead or Alive (German developer)- When I first got into gaming I pretty much messed around with Age of Empires II and squad based games like Commandos. Then I found Desperados in a bargain bin and it really sucked me into gaming. Basically Commandos in the Wild West. Pretty much a cult classic. Difficult, funny and fun. I still play it once in a while. (GOG has it)
2)
Silent Storm Gold/Hammer&Sickle(Russian Developer) Honestly, this is actually probably my favorite game of all time. Squad-Based TBS set in WWII of the X-Com/Jagged Alliance mold. I found this game when it was awarded Best Game No One Played by Gamespot in 2005. Extra deep turned based strategy with minor role-play elements. I sucked tons of hours into this game, and still play it. Like Civ IV the graphics will never grow old. First game I ever played with destructible environments. Scouts and Snipers have never been so much fun. "Sentinels", the expansion part of the Gold version, is just awesome beyond description.(you can get SS on GOG) ...oh..and Hammer & Sickle was a follow-up game that was even more challenging and rpg-y
3) Medieval II Total War - This, and DOW I, took up much of my gaming time prior to getting into Civ IV. My old avatar of a Welsh archer (Saethwyr) came from this game. In fact, it was probably this game that led me to the Civ series. Ha..and now they just released DOW: Total War, although no other Total War quite had the magic for me as this game. Gotta love expanding your empire until the Mongol Hordes spawn on the map. So much depth to this game. (edit: Should clarify that Warhammer: Total War was just released)
4) Europa Universalis IV - Grandest of Grand Strategy. Probably logged about as many hours now in this game as Civ IV. Like IV, this game is dangerously addicting, and you can keep playing and starting new games over and over. Plus, it is continuously updated and patched.
5) Mount & Blade Warband (Turkish) I actually bought in on the alpha stage when this game was in development. That is, the developer partly funded the game by allowing folks to pay a one time small amount to play early versions - way before kickstarter was a thing - then get a full license at release. A low end game by design and necessity, it is probably the best Medieval combat simulator ever. Basically, M&B is a sandbox/strategy/rpg with emphasis on sandbox. But a huge modding community has made great stuff for it from original to LOTR, GOT, Tamriel, etc. But, man, the combat is so awesome. If you like archery/horse archery, this is the best there is. I've played this so much, still do, and always will..although the game will finally get a sequel in the near future which should be much higher end. "Brytenwalda" is a must-play mod, if you get this game.
Honorable Mentions:
DOW I (not II ..ugh..not II) (edit: Dawn of War for those not familiar - Warhammer 40,000)
COH I
The Longest Journey/Dreamfall/Dreamfall Chapters (if you like Adventure, this is probably the best ever. Highly original and emotional storytelling)
Tomb Raider: Angel of Darkness (Yes, the most hated Tomb Raider is my favorite)
Crusader Kings II
Second Sight (obscure cult action action adventure game with highly engaging story and great game mechanics. I don't even know where you can get it now. It's not even on Steam)
Soldiers: Heroes of WWI
Commandos II and III
Prince of Persia
