Europa Universalis III
Grand strategy war game where you take your nation from 1399 to 1821. All my games seems to end with the whole world in war against me :|.

Hearts of Iron III
Grand strategy wargame where you can control any nation that existed during 1936-1948. Control the production, research, armed forces and many other things as you try to make sure your nation gets the most of the war. Always fun to rule the world and to play what if :).