Rome Total War
Rome Total War Boxshot
Rome Total War is undoubtedly one of the more complex strategy games out there. Everything is in this game: assassins, spies, huge armies, a family tree, public order, tax rates, everything. Start out by playing one of three Roman families, The House of Brutii, Julii, and the Scipii. Command massive armies as you conquer your way through Gaul, Macedon, Carthage, The Greek Cities, Egypt, Thrace, Spain, Germania, Numidia, and many more that I can't remember at this point.
Take missions from S.P.Q.R, and when you have enough popularity with them, march on to Rome itself and proclaim yourself Emperor and crush the remaining Roman families. Or you can simply play a short campaign and outlast a certain faction depending on which faction you're playing as. Once a faction is destroyed, you have the option of playing as a new faction when you start a new game.
Fighting the battles in this game is a blast, it's too hard to explain so I won't even try. A large variety of units to pick from in custom battles, and able to put up to 10,000 units on the battlefield at once (provided, a decent if not extreme gaming system) means that every battle is different. Also, you can purchase the Barbarian Invasion expansion, which has countless new factions, and Alexander the Great expansion to add even more factions and units.