Civilization V is the obvious one, it's somewhat genre-defining. Often on sale on Steam, although sadly you just missed the Steam summer sale where the complete Civ V bundle was going for 92% discount. But keep an eye out, it often pops up on Steam's weekly sales.
The Total War series of games are all good if you don't mind micro-managing the actual battles (the automatic battle resolution on the campaign map tends to leave a lot to be desired). Also note that the more recent Total War games can require a fairly decent computer to run.
Europa Universalis IV is an interesting game but is rather hampered by a somewhat clunky and rigid user interface. There are mods available which can help, but it's still no excuse. Crusader Kings II is a new game from the same people, I've not tried this yet so don't know if they improved the UI.