RTS: Total Annihilation and the SupCom games are definitely worth a look.
Historical Strategy: I like the Steel Panthers series personally. The first three games can be hard to come by and/or get to work, but Steel Panthers: World at War is a good game as well, and it's free.
http://www.caiman.us/scripts/fw/f2005.html
FPS: The Deus Ex games. It's a bit dated compared to modern shooters, but the story and gameplay are still great IMO. The second one is definitely worse than the first, but it ain't really that bad.
EDIT: Here's another freeware remake of Steel Panthers:
http://www.shrapnelgames.com/SPCamo/wSPMBT/1.htm
Warning: The preceding message may or may not have included sarcasm, cynicism, irony, full stops, commas, slashes, words, letters, sentences, lines, quotes, flaeed gramar, cryptic metaphors or other means of annoying communication. Viewer discretion is/was strongly advised.
