Gonna have to be Star Wars: Supremacy for me. I remember buying it when I was like 10, and not understanding a damn thing about the game. All I could do was build huge fleets of Star Destroyers and go on rampages. But over the past 10 years I've picked it up again and again, and enjoyed it thoroughly every time.
The brilliant thing was that each time I played, I'd figure out new things; and it's at the point now that even on the high difficult setting I can sweep to a decisive victory in a few 100 days. I'd truely love to play it multiplayer, but, sadly, I don't know anyone else who plays.
I pick it up again every so often (at least once a year), and play through the campaign in an evening, and unlike many other Star Wars games I love it every time.
(Dauntless Cruisers anyone?)