My favourite strategy games used to be Close Combat and TOAW, but WinSPWW2 and MBT have long since pushed them out of the spotlight
I'll also mention the Myth series here (real time tactics genre). You can't build any units and are always badly outnumbered, so tactics are really important. I was pleasantly surprised by this, especially considering the fantasy setting. Pretty good storytelling as well.
Also, OpenXcom is awesome.