I have played the vast majority of them. Medieval 2 was, in my opinion, the best ever released in proportion to the time it came out. I really hope they make a 3rd one with an even more complex religious/assassin system. Politics and religion are a lot of fun in the medieval series, in particular.
As for modern ones, nothing beats Warhammer 1/2. They have changed quite a bit, but in a mostly amazing way.