Can you narrow it down a bit? Setting/timeline etc?
Currently I'd really recommend Disciples 2 or 3. In the same vein, the King's Bounty games are mental and awesome.
Elven Legacy is a bit older but still great and you can get the collection really cheap nowadays.
If you want staggering scale and detail, something by Paradox like Hearts of Iron 3. Not really turn-based but ponderous enough and pausable while you issue commands.
Solium Infernum plays like a boardgame but I can't recommend it highly enough. Great in single player, amazing in multiplayer, and dripping with atmosphere.
Space Empires 4 still hasn't been bested in the sci-fi grand strategy category as far as I'm concerned.
Frozen Synapse. More tactical than strategic but frigging amazing!