Currently, it's Crusader Kings II, or Europa Universalis. Hearts of Iron and Victoria II are good games to play. Total War is easy compared to those. On second thoughts, just check out the company Paradox Interactive.
Heroes of Might and Magic III - one of the best turn based strategy games ever made. And Battle for Wesnoth good free turn based game you can try: [url=http://www.wesnoth.org/]
Europa Universalis 3, Hearts of Iron and Empire Total War would be my favorite currently. EU3 I'm pretty good at, but I am still practicing with HOI because I really suck at it.
No, your all wrong. If you are looking for a GREAT strategy game, it will cost money and a download, but StarCraft 2. You might want to get the expansion too, and if you are not looking to spend money, might I suggest Atlantica? It is a game you will have to download, but similar to chess in a fun way.