What game should I buy?

Buy Rust and make believe you are playing all the rest of them.

CIv5. but the complete edition...
but be advised, its addictive, hope your next few months are free

Well, I only played Civ V, Tropico 4, and EU III.
I recommend you to buy Civ V. Great game, lots of mods to get. As Ohad said above me, get yourself the complete edition. BNW + GnK is a must.

Civ5

I'll not vote, but will comment. Civ V and EU IV are great games, but if don't buy at least major DLCs, just avoid them. For Civ V you MUST have Gods and Kings and Brave New World and you can buy Complete Edition for reasonable price, but for EU IV well... it's a long list and you must to pay hundreds fo $ or EUR :/

I only played rust.If you are playing with a friend,game is fun but if you are alone I won't suggest buying it since you will be constantly killed by naked people :)

If you have played Max Payne and Max Payne 2 go for Payne 3

Out of the ones you've listed, I found EU 4 to be the most enjoyable. It's not an easy game, and if you intend to play multiplayer, you really need to do it with other people you know. Also, if you intend to get EU4, then keep in mind that there is a lot of DLC for it. Learn to spot what DLC you actually want. The expensive ones usually introduce a good amount of new content, and the cheap ones usually only change the way certain models look. You don't need any DLC to play EU4 though.

The only one I've played here is Max and it's brilliant fun, I voted Civ5 because it's the next one I want out of those, but I'm, sure I read somewhere that Europa Universalis and Tropico can somehow connect?

get gods and kings for Civ 5 though, adds a lot of stuff

The only 2 I've played on the list are Max Payne and Civ 5. Both are extremely fun and come recommended by me. Depends on if you like Strategy or FPS, :D

I'm assuming you mean online-multi rather than LAN or same-comp. That rules out a lot of good games, sadly. There is Cult of the Wind but I am not sure if the servers are filled yet. AVOID BEYOND EARTH. If you're getting CivV, don't get BE. It's a reskin clone with a confusing tech-tree GUI. What about Torchlight 2?

EU 4!!