A Good Strategy Game

I think in Europa Universalis you can change the course of history.

Hearts of Iron may seem like your cup of tea.

Paradox grand strategy games:
Crusader Kings II (Medieval)
Europa Universalis IV (Renaissance to early 1800's)
Victoria II (Victorian era)
Hearts of Iron III (WWII)

Total War, Civilization, etc. I don't know too much WWII strategy games though.

With that example there of WWII i would recommend my old friend civilization 2 and the scenario that came with it of the WWII, so many memories.......

Now about the strategy game on general, i think that crusader kings II and europa universalis are pretty fun, there is dominions 4 for a more "magical" strategy of the same sort...

And of course any civilization (not just civilization 2 that its too old for anyone that isnt nostalgic) they got a pretty nice set of scenarios made by the community that are very nice...