Depends on the scale you're looking for, of course. But mainly on the tactical level:
North African/Desert Campaign: Graviteam Tactics for the Tunisian campaign and... nothing much else unfortunately (Combat Mission 3 is still pretty solid for Africa though). At a bigger scale, John Tiller's game series Panzer Campaigns will bring you all the satisfaction you're looking for in this theater and others if you are more of a hex & turn grognard.
Battle of the Bulge: Combat Mission's Last Blitzkrieg expansion at the tactical level, and Command Ops own take at the Bulge at a larger scale.
Arnhem/Market Garden: Gameplay-wise, Close Combat 2 is still a gem that cannot be promoted enough. On a more realistic aspect, Combat Mission: Battle for Normandy is the best choice (it has a Market Garden module). There again, Command Ops (the ancestor of which was actually a Market Garden game named Highway to the Reich) is also a solid take. The old V for Victory on this topic is still a fun game.
Normandy/D-Day: Same as just above: Close Combat vs Combat Mission vs Command Ops (Epsom!) vs V for Victory if you're into oldies.
Battle for Berlin: Hard to find something outside of the existing crowd already mentioned.
Monte Cassino: There again, same drill. Fortress Italy for Combat Mission does the job very well.
My 2 cts ^^
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