Age of Empires III is pretty decent. I personally like the older ones better, but the newest edition isn't too bad.
Although I never really got into them, the Civilization series has gotten much critical acclaim. Try Civ 4 and Civ 5, the latter being easier to learn for newcomers.
An oldie but a goodie, and my personal favorite, is Rise of Nations. The graphics are probably very dated, but it's an amazing game that lets you play many different nations with a diverse number of units.
Let's not forget Starcraft. I have never played I or II but it is the most popular and well received strategy game to date. You should give it a go.