oldies but goodies
XCOM
+1 it's on steam for super cheap and it is a badass game, it took me awhile to get used to at first because it has a fairly steep learning curve, but once you really get in to the game it is effing awesome.
Oh crap, I had no idea they had this on steam. Well, there is yet another game I gotta buy. Seems you can get every release of the game for only $15.00, which would be like 3 or 4 full games.
Some of the more intensive games of the past are the entire Master of Orion series...
Heroes of Might and Magic 3 is a very good one as said above, and I'd have to agree that 5 in particular is not very good at all... It seems to me that the turn-based genre has almost died out completely, other than the Civ series.
Some other good games along the same lines although not really turn based are:
Age of Empires 3
Sins of a Solar Empire & the expansion Entrenchment (highly recommended)
Lord of the Rings: Battle for Middle-Earth 2 (highly recommended)
Starcraft (a must-play classic, with the sequel coming out in about 2.5 - 3 months)
I think these are real time strategies not turn based...right...?
Turn Based strategy? Try Heroes of Might and Magic, III was the best but it's old, I heard the new ones weren't as good and theones before III are... not quite as enjoyable, so.
What era are you looking at anyways? Newer games, or is oldschool alright?