Hrmm. . . some classics, in no particular order, which have caught my attention and been enjoyable:
OGRE, by Steve Jackson Games. Very grim, not terribly detailed but quite well-balanced and fun.
Warhammer 40K, Rogue Trader, by Games Workshop(mainly Jason Priestly).(not the ugly kiddie game that's out now, the original hardback). Again, not a
wargame in the classic "armchair general" mold, it was nonetheless a very enjoyable tactical sim.
X-COM Terror of the Deep. In many ways, I feel that this Version of X-COM was the best, even though it recieved very tepid reviews at the time of release. The designers worked very hard to correct some of the obvious holes in play balance of the first title, and made it into an entirely new mess
Squad Leader. Well, gee. . . what can I say about this game that hasn't been said before? If you like detail, this is a great game. . . if you don't, they provide some speed-ups to the rules system that work fairly well. I personally preferred 40K- the models and diorama work made it fascinating when I was 12-13.
Ogre Battle(the Playstation 'gold' Version). A surprisingly intricate and difficult game, combining strategic ruthlessness with odd lessons in Japanese cultural attitudes. A
very difficult game to win.
Warhammer, Shadow of the Horned Rat(pc Version, the playstation Version is almost unplayable due to control problems). This has to be one of the most excruciatingly difficult games of its type. The battles are all 'set piece', in terms of timing, and the AI isn't brilliant. What makes the game intriguing is the resource management. Unlike most games of its type, it's very likely you'll want to ditch a game halfway through, because you'd made an error. . . but at the same time, it's such an interesting challenge that I, at least, come back again and again.
Battletech, by FASA Corporation. In its early, pure form, Battletech was a mighty clean game, but I think FASA stumbled later on, as it continued to tinker with its game
system, as opposed to its unit lists and terrain rules. Dissapointing, but the early Versions were nice. . .
Anyhoo, these are just my opinions