Lots of great historical games around:

Cossacks: European Wars
Shogun: Total War
Age of Empires/Age of Empires II
Empire Earth
Hearts of Iron II
Europa Universalis IV

And of course also games like these:

The Guild
Port Royale
Patrician 2
Anno 1602

+1 for Total War —— still not available on Gog :(

For something totally different, Apotheon is a beautiful, two-dimensional side-scroller that uses the black-figure artwork of pre-classical Hellenic pottery as a conceit, and visitation from the Olympian pantheon. (The voice acting is not terrible, too.)

Not mentioned yet:

I am very fond of Rise of Nations, the RTS that actually made you feel you were building an actual empire. Lots of flavor with several meaningful and thematically appropriate bonuses and unique units (not that common at the time), a deeper diplomacy system than I had previously seen in real-time games, and perfectly balanced so you could choose your starting and end time era. Many mechanics more traditionally associated with turn-based (in other words, Civilization, where the designer of RoN came from) were successfully adopted (dynamic borders, influence radius of cities, attrition, special resources and Wonders providing bonuses, assimilation of conquered cities instead of razing everything to the ground, selection of government types, capital cities). It's unfortunately not on GOG.

Another one that is available on GOG: Sid Meier's Colonization. Even despite its age, the mechanics still feel fresh, even better than the remake. Extremely immersive, with a unique economic system based on production of raw goods, manufacture of more valuable ones, and trade, a whole New World to explore and treasures to find, quite complex diplomacy for an early 90s game (and still satisfying nowadays), some touches of humor and an end-game boss to beat and gain your liberty.

Age of Empires 2
Titan Quest (if mythology counts)

also

World of Tanks - I can tell most WWII tanks just at a glance now, know a lot about ballistics, tank concepts, parameters, their specifications etc.

https://store.steampowered.com/app/336080/Vietnam_65/

https://www.gog.com/game/sengoku

https://www.gog.com/game/ultimate_general_gettysburg

WUT?!

I mean it's not historical enough ! same goes for HOI series too for most part and 99% of the games in this thread. Historical games for me should be really historical and not include non historical elements like say mana, events that did never happen etc.

Historical games too often means loosely historical but they are fun too yet i am hesistant to call them historical.

Honestly I don't remember mana or any other "fantasy" feature in Crusader Kings 2. Though I've played very little outside tutorial. What exactly is "non-historical" element there?

It's not mana in the sense of in the Imperator but it's in the resources the game uses, still i do not like how it's handled even if minor. When i say non historical elements i mean there is a whole lot of historical inaccuracy in the game i many events like immortality and reincarnation quests, religions has multiple inaccuracies, how it handles mistresses is inaccurate, slavic culture include many inaccuracies and the list goes on.

Still it does a decent job at portraying stuff many times too and there's worse offenders in gaming,

Definitely CK2. When I play historical games, I'm not looking for accuracy or educational value, I want references that I get and feel clever about getting, because I'm a history buff, and becuse the "realistic" version is what actually happened. Like, what if Akhenaten's reforms held? They didn't and they couldn't, but what if? This stuff's fun.

Rise of Nations, Europa Universalis 3

On the strategic scale, I loved Romance of the Three Kingdoms III and IV, and Europa Universalis II.

But surprisingly, I think I have more fond memories of games more into trading and exploring (although EU2 includes that), like High Seas Trader, Machiavelli: The Prince or Uncharted Waters II: Unknown Horizons, and even the full trading game Europa 1400: The Guild.

Speaking of UW2, I have always been curious about another japanese series on that topic, the The Atlas series from Artdink. It's even on Steam nowadays, but although the Lunatic Dawn series has translation projects, I'm not sure if The Atlas series has any.

The two Egypt games on here from Clarus Victoria are great fun edutainment.

What about the UFO series, like Aftermath?
All the weapons and ammo are taken from actual models (even the lasers!). That's Future-pluperfect-retcon Historical realism …?

If not, there's always this series: Patrician III being a good starting place.

edit: fat-finger hypertext mismarkup mess.