With links in the titles...
Battleship Chess (Apezone)
I haven't played in a while but when this first came out I was hopelessly addicted. WWI-era naval combat with card play and power ups/bonuses. Pretty much all Apezone games are good, though for some reason I just couldn't get too into Starship Kingdoms. Will have to play it again to see if it clicks more for me now.
Lexaloffe Games
More puzzle games than strategy but highly addictive. Chocolate Castle is a great game, one of those that you keep thinking about long after you close it down. Just when you think you're stuck suddenly you're at lunch and the "ah ha!" moment hits and you can't wait to get back into the game.
Battle of Tiles (Bimboosoft)
Odd fantasy strategy game where you create an army of tile based units and march across the board, hopefully annihilating everything in your path. While not a game you'll play forever it's cheap enough and unique enough to keep you entertained off and on.
Wings Over France (RooGames)
Only have played the demo, been meaning to purchase the whole shebang. Basically a cross between Dawn Patrol and the old SSI game Eagles. It's based on a boardgame though I'm not familiar with the source material. Essentially a turn based WWI flying RPG set during Bloody April. Primitive graphics but gameplay up the yin yang.
People's General WW2
Free total conversions using the People's General engine. You have WW2 mods, ACW, WWI, and even Napoleonic warfare. Mileage and quality of scenarios vary (I couldn't get the WWI one to work and the Nappy one leaves something to be desired). All free and standalone.