Depends upon what type of "strategy" you are looking for. Are you interested in RTS? SRPG? Turn-based?

PS2 - Disgaea 1 & 2
360 - Record of Agarest War, Halo Wars
PC - Warcraft 2, Starcraft, Command & Conquer: The First Decade (lots of games in that one), Age of Empires, Dawn of War w/Winter Assault & Dark Crusade - avoid Soulstorm though (if you use Steam, DoW1 & 2 are on sale till the 2nd)

knights of honor

Yes they do.

http://www.amazon.com/Paradox-Interactive-41089dox-Package1-Plentiful/dp/B008G0ZDZI/ref=br_lf_m_1000716161_1_4_ttl?ie=UTF8&s=videogames&pf_rd_p=1375151162&pf_rd_s=center-3&pf_rd_t=1401&pf_rd_i=1000716161&pf_rd_m=ATVPDKIKX0DER&pf_rd_r=14BRNP0MBMG0NZJQKPYK

Great pack strategy games for only 12,5$ !

+
http://www.amazon.com/Pint-Sized-Paradox-Package-Download/dp/B008G0ZXSK/ref=br_lf_m_1000716161_1_2_ttl?ie=UTF8&s=videogames&pf_rd_p=1375151162&pf_rd_s=center-3&pf_rd_t=1401&pf_rd_i=1000716161&pf_rd_m=ATVPDKIKX0DER&pf_rd_r=14BRNP0MBMG0NZJQKPYK

or
http://www.amazon.com/Plethora-of-Paradox-Games-Download/dp/B008G0ZVLE/ref=br_lf_m_1000716161_1_3_img?ie=UTF8&s=videogames&pf_rd_p=1375151162&pf_rd_s=center-3&pf_rd_t=1401&pf_rd_i=1000716161&pf_rd_m=ATVPDKIKX0DER&pf_rd_r=0EE6P30S3JVXWD3PH7AK

you can download from amazon or from steam(steam key for all games)

It's usually pretty easy to find copies of Company of Heroes or Supreme Commander cheap. Failing that there's always Total Annihilation on GOG.

Thanks for reminding me about this one! It jumped on 1st spot on my WANTED list! ;D

Oh, alright. It's been quite a while since I played the game, so...

You're welcome. :)

It's like $20 bucks and has C&C, Tiberian Sun, RA1 & 2, Generals, Renegade, and the expansions. Probably one of the best overall deals when it comes to PC gaming.

Warzone 2100

Cheap and free ;)

That's one of my favorites.

I also really love OpenTTD, which is also free and completely awesome although a different genre of strategy game.

If you like RTS games with an RPG twist, I'd suggest SpellForce Platinum. It's a very enjoyable and underrated game (in my opinion) and for less than a tenner you have a lot of content in there: the Platinum edition includes the original game plus two expansions (that means 3 long campaigns) and there's also a cooperative multiplayer mode (that I've not really tried, so I can't say much about it). You get to control 6 different races (not at the same time, depends on each map which ones are available to you): men, elves, dwarves, orcs, trolls and dark elves, and the micromanagement is minimal because the units that have a special power, like the healers, use it automatically when needed. You also control a main hero that levels up and has an inventory and a skill tree not unlike one you'd find in a "true" RPG, and several 'lesser' heroes that don't level up but can be geared with different weapons and armor as well. The graphics are nice, especially the landscapes, and there's a full day-night cycle that influences the performances of the different units. And the musical soundtrack is excellent. Take a look at this trailer for the original game, The Order of the Dawn, if I've picked your interest (in German, but it's quite easy to understand what's being said): SpellForce, or you can watch this Let's Play to get a better idea.

If you like turn based combat get the classic battle isle here. Simple to get into but gets more and more difficult and can keep you addicted until the end.

There are working links for the C & C freeware games here -
http://news.bigdownload.com/2010/02/13/download-command-and-conquer-classic-games-full-free-games/

btw Tiberian Sun comes with the Firestorm expansion.

Hope this helps :)