Most of
Paradox Interactive's games are excellent grand strategies, and each one is a little different from the others. They are also a Publisher as well as developer.
Europa Universalis III Chronicles is probably my favourite and easiest to get into of their games, you take control of and lead any nation from 1399-1835ish (and you can start at any year, month or day during that time, there are also numerous mods) and lead it to glory. You can focus on colonizing the New World, uninting the Holy Roman Empire (or Russia, Italy, Japan or one of several other nations), reforming the Eastern Roman Empire, or just trying to survive as a minor or non-European nations. It is mostly focused upon expansionism and nation building.
There is also the Hearts of Iron series (and a couple of mod-turned-games that further expand upon HoI2) where you once again lead a nation during the late 1930s into the 1940s (and WW2). It is a lot more focused on coordinating large amounts of units and supplying them.
The Victoria series is the most difficult of them, as it focuses very heavily upon the economics of the 1800 and early 1900s, but is also very rewarding to those who get the hang of it.
Crusader Kings II is coming out this winter, and takes place during the middle ages. While it does have war and nation building aspects, its main focus on building a dynasty rather than a nation and arranging advantages marriages and alliance (and appeasing your vassals).
Also published by Paradox are the Mount&Blade games (I recommend getting Warband) which has the best medieval combat and horsemanship of any game yet and a vibrant modding and multiplayer community. The mods range from massive SP total conversions of low fantasy worlds to the recently released Last Days (Lord of the Rings, although it is only for the first M&B game) to more historical based periods. There are several big multiplayer mods, a couple of which focus on the US Civil War and Napoleonic Periods (complete with line battles, artillery and cavalry charges).
Red Orchestra 2: Heroes of Stalingrad had a rough launch but most of the issues are fixed now. The game is a realistic/authentic WW2 FPS that is a rewarding and skill based challenge (ie you're going to die a lot before you get the hang of the game, but it is totally worth it once you do). The tanks are especially highly detailed (although a little more difficult to aim than in RO1), you have to hit them in the right spots at the right angles (depending on what you are shooting at them) in order to do damage (and infantry can get killed by deflected shells, which is kind of funny). All updates are free and there are several mod teams (some of which were given early access) ahrd at work to expand the gameplay to WW1, the Romanian Army in WW2 fighting in Ukraine, the Pacific Islands (US vs Japan) and other areas.
Metro: 2033 is the best linear FPS I have ever played. It has a great post-apocalyptic atmosphere and a decent story (compared to most other games anyway) and is genuinely creepy at times. Ammo is scarce (which was a little annoying at times when playing on the highest difficulty, but not as annoying as running out of gas mask filters) and a good aim is generally needed (sometimes stealth is the wiser choice).
Similar to Metro (partly because 4A Games which made Metro was founded by people who split from GSC Gameworlds) but more open world (interconnected large open areas to be exact, but it still counts) are the S.T.A.L.K.E.R. games. They have their flaws, but the atmosphere and feeling of the game totally makes up for them. You are usually alone, struggling to survive in the Zone around Chernobyl against various mutant monsters, armed bandits, the military, any other faction that decides you aren't welcome (there are also friendly factions too, along with other STALKERs) as you do various missions for people (mostly optional, but usually worth doing) and progress along the main quest. You can revisit any area (and often will need to do so anyway) and it is not until the end of the game when you go beyond the point of return (which iirc the game informs you about). It is a somewhat realistic FPS, Shadow of Chernobyl is the first one, Clear Sky is a prequel (and the most flawed, but if you love SoC you'll still enjoy CS), and Call of Pripyat is the third and improves upon the first two games.
