Combat Mission: Shock Force is more of a military simulation than a game, which does not mean that its not a lot of fun to play for the strategic minded.
Frontline Fields of Thunder is one of the most realistic WWII games covering the Russian front. The game even ships with a unit encyclopedia to make any war buff drool.
Europa Universalis III takes country management and strategy to the extreme, but does so without requiring a PhD from players.
Rush For Berlin features some of the most intense RTS combat ever created for the WWII genre. You will sometimes think you are playing a shooter.
Knights of Honor marries the deep strategy found in Empire-building games with the intense battle found in medieval combat titles.