I recommend King's Bounty and Penumbra. King's Bounty is awesome, it will take a LOT of hours to complete (I have 35 hours clocked and I don't think I'm near the half of the game yet) and it's full of stuff to do. the only problem is that soon you'll need to backtrack to places where you will recruit units and the enemies don't respawn, so it will be pretty empty. Penumbra is pretty good too, although it has an absurdly clunky combat (you can "cheat" though).
Sword of the Stars is supposed to be great as well. I have and bought the new expansion, but I still have to play it :P
EU and Hearts of Iron 2 were already recommended; Elven Legacy apparently is also a good game, but I haven't played it (didn't buy it too!)
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