For a greater focus on the
tactical combat, you could also look at games like Incubation or the UFO series. There is a great fansite for Incubation
which has the demos available for download, and there's a decent remake of UFO in the works [url=http://ufoai.sourceforge.net/]here. The more recent commercial UFO games (e.g. Aftershock) actually make a good introduction to the earlier, more complicated ones.
Jagged Alliance 2, also available on GOG, is a great tactical combat simulator, but I wouldn't recommend it unless you find you really enjoy that style of game.
For more
strategic combat,
Battle for Wesnoth has already been recommended. It's a great game and there are several campaigns to keep you occupied for weeks.
For a bit more of a
mixed strategic and tactical game, I fully support the recommendations for Disciples and HOMM 3. I would also suggest looking into the [url=http://en.wikipedia.org/wiki/Warlords_(game_series)]Warlords series[/url] (not Battlecry), as it has a similar mechanic to Disciples.
For a
strategic world domination experience, you really can't go wrong with Civilization 4, or Sid Meier's Alpha Centauri, as alreay recommended. There's a recently released Civ 4 pack, including several expansions as well as Colonization.