I never know where to start
Definitely games from Paradox.. I am a big time fan of the Civilization series, especially Alpha Centauri. It seems like Paradox often makes games that attempt to do this, Victoria, Rome, etc.. but the many I have bought and tried, like the above post, I find myself all excited to play, grab a beer and some munchies, I sit down and just end up staring at the screen stunned. I guess I need a more direct purpose for a game than "do what you want". Another series I can think of is The Guild, and The Guild II set.
My wife on the other hand is just the opposite, she will take to grand strategy games in an hour or two then play them constantly for weeks. I wish I had her resolve that way to figure them out, because I really like games (some times) that I can just run by casually clicking things with a mouse. (Lazy huh?)