Well I would recomend the games in my sig. All (except Dominions II) are made by Paradox Entertainment. Another Swedish software company.
Europa Universalis 2. Play any country from 1419-1819. Rather deep diplomacy and lots of wars.
Hearts of Iron. WWII grand strategy game. More focus on war and technology, but engine is recognicable from EU2.
Victoria - An Empire under the sun. Play any country from 1836-1920. Unite Germany or Italy. Fight the Crimean war etc. Engine is developed from the former two games.
Of the three my favourite is EU2. Both the others are good as well.
Edit: Be prepared for rather steep learning curves and dont trust the manual, but seek answers from the Online FAQ or the forums. People behave much like on this forum (Thats supposed to be a positive endorsement
).
Edit2: Oh and by the way, the Pause/break button is your friend
[ March 09, 2004, 23:48: Message edited by: Bossemanden ]