Going back, I think almost everything Paradox is DRM-free, meaning Victoria I & II, Crusader Kings I & II, Sword of the Stars (don't know about 2, 2 might need Steam), Europa Universalis I, II, and III, Hearts of Iron III...
At the very least, Gamersgate lists them all as DRM-free, and the Amazon versions just have a serial code activation. The Steam versions don't even have that, and Crusader Kings 2 is definitely DRM free, so I'd assume the earlier ones are, as well.
EDIT: Oh, the Dream Machine is DRM-free.
EDIT2: Dangerous Waters appears to be DRM-free, despite executables being named to the contrary.