Dwarf Fortress. 2nd that one. There is a reason why the DF threads are titled the way they are.
Mount and Blade, definitely second that one. It has FPS 4X and Tactical strategy elements in it, and its the first game I have ever seen that handles mounted combat well. Its....tits. Also they just released the sequel/expansion which I haven't played yet (actually I was a beta tester for the multiplayer, I never played the single player)
Other strategy games:
Civilization 4 - Best 4x game ever made. But be prepared to play 24 hour sessions.
Galactic Civ - The space based version of Civ. Best thing about it is that its the only strategy game I know of that uses a CPU slider for difficulty scaling. Harder difficulties actually use more complex AI.
Battle for Wesnoth - Freeware. Good simple strategy game, remarkably fun.
Total War series (rome or Medieval 2 are my suggestions)- Lots of fun up till when you realize the AI isn't very good. But its still tons of fun. It has 4X and RTS elements, there is a world map which is turn based and battles are real time.
Sins of a Solar Empire - Where total war has a mosaic of 4X and RTS, SoSA somehow pulls off blending them. Its all real time, but plays like a turn based game due to the slow movements and the epic scales of the battles. The fights in that game may be the best I have ever seen in any space sim. The other cool thing is the zoom function on it. You can be sitting at one second zoomed out looking at 4 star systems with 150 planets total then roll your mouse and be following a bomber zipping through a titanic fleet battle with hundreds of ships on either side. AI is good on that one too, plus its got StarDock DRM (none)