Thought I'd be more conflicted about this but when it comes to the sheer amount of fun and hours I've sunk into a game my choice has to be Rome: Total War. Surprised only one other person has mentioned a Total War game so far.
The game is huge, the battles never throw dick-moves at you and instead are all about strategy. The campaign map is wonderfully intuitive to use and adds a whole different game into the mix (to the point where you can auto-resolve every battle and just play it as a turn based Civ-style game). There are a lot of different factions and, while many of them are similar to others, usually there will be a few quirks and they all start in a different place with different challenges. The actual battles themself are just incredible (especially if you have huge unit sizes enabled). When you have your army of 3000 against an enemy of 10000 then you have to make sure every battlefield tactic goes off. And even if you don't win the battle the fact you've badly mauled an enemy means victory in the long run.
I once had a Slavic horde of 12000 (4 seperate armies) siege one of my town which had 1000 defenders. At the end, my guys were dead to a man, but only 4000 Slavs remained. Moments like that make Rome special.
Runners Up are Emperor: Battle For Dune, Sins of a Solar Empire, Homeworld Cataclysm (and 2), Red Alert 2, and Warhammer: Dark Omen (who remembers that one?).