I've been playing Crusader Kings II. As the title suggests, it takes place in medieval times. It's integrated with another game by the same developer (Paradox), Europa Universalis IV, allowing you to export your CK2 Save to EUIV. These two games combined make for endless replay potential.
Paradox games are a bit complex, and it will probably take 10+ hours of gameplay before you become comfortable with them. Try Sid Meier's Civilization if you haven't already, as it's easier to learn, and gives you a general idea of the concepts employed in these types of strategy games.
Someone suggested Total War: Rome 2 above, but I don't recommend it. The Total War series is great, but the Rome 2 addition is generally considered an atrocity of the franchise. Opt for TW: Shogun 2, or even TW: Rome 1 instead.
These articles contain some comprehensive lists you can browse:
http://en.wikipedia.org/wiki/Chronology_of_grand_strategy_video_games
http://en.wikipedia.org/wiki/Government_simulation_game