Shogun Total War was awesome. I so want to play Shogun Total War 2 but my laptop is too inferior. Dawn of War was another one I loved, I used to play a lot of multiplayer with a friend who was really into RTS games, so he was better at me and I rarely won, but meh, it was still a lot of fun. Like our Monoliths going out at each other, wiping each other out until I realised his monoliths were attacking mine to distract me whilst he took out my bases. :/ I might reinstall it again, maybe Shogun Total War too if I can get it to work (I struggled on Vista, maybe 7 will have better luck)
Civilization V was my latest purchase, I can't say its as fun as those other 2, but quite tactical and you end up doing a single campaign for hours and I like the facts you build up your technologies - normally that's my focus, try and advance quicker than the other nations and then destroy them. Oh and I have invaded France and they surrendered.
I loved the Age of Empires Series and I had fun with AoE III, but I guess I ought to check out AoEO, though I am kind of skeptical as to weather it's any good.
But I guess my favourite would be Shogun Total War, hands down.