It depends a bit on what type of game you are looking for, but here are some that I enjoyed:
Combat Mission: Rather deep and a tad bit complex, but a very rewarding WW2 tactics game. This is a game that I think everyone who enjoys strategy/tactics should give a shot.
Battle Isle Platinum: A lot of games for your money here. The battle isle series is not too complex but still quite fun. Incubation is a squad level tactical game, while the others are played on a larger scale, with each unit representing several soldiers. Think Advance Wars.
Jagged Alliance 2: Probably the best TBT I have ever played. Deep yet not too complex, rewarding gameplay and many interesting characters. It also has a relatively high replay value.
Panzer General 2: A classic game. The panzer general series offers a surprising amount of depth, yet are still rather approachable.
Fantasy wars: Not very complex, relatively similar to panzer general (but fantasy), but VERY challenging. Fun though, and it has a sequel that continues in the same vein (though it is a tad bit more forgiving)
Other games that don't quite match your description:
Age of wonders: A great TBS, similar to Heroes of Might & Magic, but in my opinion a lot better. I think that the first part of the series is the best, by a wide margin.
Master of Orion 2: One of the best 4X games ever. You also get MOO 1 in this pack, which is worth playing as well.
Games that I have heard are good but have no first hand experience with:
Strategic Command: European Theater
Master of Magic
Post edited March 23, 2012 by AFnord