East India Company was pretty good. The "uncut" patch made the game shite, but it was quite fun. It's like a more trade-based version of the Empire Total War naval mechanics. You play as one of the many Companies from the 18th century, and deal with trade from Europe to Africa to the Indias. It was pretty fun, and the naval combat was quite good too.
Of course, there's always Empire Total War aswell, as has been said. I loved the naval mechanics in Empire, though they're ridiculously micro-manage oriented. It's a little annoying when your enemy gets a lucky shot on your ammunition stores, especially when it's on your flag ship

Napoleon pretty much broke the naval mechanics, don't bother with it.