I used to be addicted to Battle for Middle Earth 2, but the devs really seemed to forget about that game fast (there was like, 1 patch; that's it).
Heroes of Might and Magic 5 is good (I sucked at this game for sooo
long; it was just recently that I figured out how to actually play the game
Medieval Total War 2 is awsome, but it does get old after a while.
I play Spore occasionally, but it also gets old (in it, you evolve cells into a space empire; fun at first, but it gets really repeatitive, even with the added content).
Europa Universalis Rome is like what Valk was talking about, just in an early Roman period (not that I ever play Romans; ick! I'm either greek, celtic, or some middle-eastern civ or other
I play Civilization 4, but only with one extremely awesome mod: Fall from Heaven 2. It is the ultimate fantasy mod for Civ, and the lore is excellent. Even DOF could learn a thing or two from it!
And of course, Age of Mythology is always a favorite (I mean, it's Age of Empires with gods and mythical creatures; what's not to like?