Galactic Civilizations II is great, but can be tough to learn at first. If you don't get frustrated... and if you give it a few days to really understand it, it is very, very fun. In my case, I recently started playing it after buying it (+ DA/ToA expacs) a couple years ago, so it's like a brand new game to me.
I've heard a lot of good things about Europe Universalis 3, though I haven't played it. Worth a look just based on the word of mouth I've seen about it though.
Medieval II: Total War (with Stainless Steel Mod) is still one of my favorite games ever, and you can probably find it fairly cheap somewhere.
I still play Master of Orion: 2 as well, even though it's old. Just stay away from MOO3, it was terrible, and destroyed the franchise to boot.
And of course, there is Civ 4 still. You can also find it pretty cheap as well.