Most of these have been already mentioned but just to iterate that I would buy them in a heartbeat:
It's a humorous fantasy strategy game, except that instead of controlling the heroes you play as the king hiring them. I never got round to playing this when it came out, which is a shame because it sounds extremely interesting.
King of Dragon Pass http://www.a-sharp.com/kodp
KODP is a really weird game to classify. It's sort of an RPG but you don't have a character, instead you play as the entire clan ring of 7 people. It's not really a strategy either, it's a little too light on that. It's not a management sim either as you barely get to build anything. It is a deeply unique (and sometimes really funny) experience however!
Odium (aka Gorky 17) http://www.mobygames.com/game/windows/dium
A cult adventure/horror/strategy game, although the battles play really more like puzzles than proper squad-based tactical gameplay from Jagged Alliance and its ilk. There's also an unintentionally hilarious plot that reminds me of Resident Evil with its straightfaced seriousness.
Master of Orion 2 http://www.mobygames.com/game/dos/master-of-orion-ii-battle-at-antares
The classic 4X series and my favourite iteration of it. Linking the DOS version of it because I remember the windows one being really unstable.
Also nthing the Thief series and Anachronox.