besides Fantasy Wars there's Elven Legacy which is the sequel, and its 3 expansions.
I recommend Europa Universalis 3 too, which has 2 great expansions and another one coming out tomorrow. there's also Europa Universalis: Rome (with one expansion) which is also great.
another good TBS is Sword of the Stars (this one has 3 expansions but you can get the whole pack with a good price), which is a space strategy game focused on combat, with 6 races that play very different from each other, the research tree varies in each game (some technologies are simply not available) and you can design your own ships too.
on the RTS side there's Men of War and Sins of a Solar Empire
as you can see from the other posts too, there are A LOT OF strategy games out there lol
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