For Rome: Total War, I highly recommend playing the Rome: Total Realism mod. The game isn't really the greatest strategy game per se, but it has an addictive brew of a grand strategy game on one hand, and the within it - a tactical wargame (which, really, is THE ONLY kind of game game that does what the Total War series has done for pre-modern tactical war games)
RTR can be deadly, for me. I try to just play a campaign out in a space of a week or two, and then drop the game for months. Because if I play it any more often, it just sucks the life out of me :rotfl:
Otherwise, I second the recommendations on Combat Mission games - although they're not strategy games, but tactical wargames, technically speaking. (or is that little campaign add-on out for it already?) Very involving and realistic gameplay, very refreshing concept of "we go"
I'm gonna try out Civilization IV one day, we'll see how that one is. I've been a fan of the series before, so it may well be worth it.