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Any of the Total War series should scratch your strategy itch, as well as the more hardcore Pardox titles like Europa Universalis and Victoria 2. There are also a ton of RTSes, like the Dawn of War series, Company of Heroes, World in Conflict etc etc.

For RPGs all of the old Infinity Engine games like Baldur's Gate, Planescape, Icewind Dale etc are available for cheap on gog.com- there's a ton of mods for them as well which make them more better-looking and more enjoyable to play. Neverwinter Nights 2 recently appeared on Steam, but it's been on sale a couple of times, so might be worth waiting on that one. Also look out for some newer excellent European RPGs such as Drakensang, Risen, The Witcher and Divinity 2 as well as real old school indie ones like the Eschalon and GeneForge series.

Not exclusives, but the PC versions of Left 4 Dead and its sequel and Team Fortress 2 are light years ahead of the console versions. Other good exclusive shooters include STALKER, Killing Floor, Arma 2, Red Orchestra, Crysis and Amnesia (not really a shooter, but pantwettingly scary and has just received a free extra campaign).