I play strategy games quite often, so I have a few of these. My favorite was in Empire: Total war. I united Germany as Prussia, and took Ceylon from the Dutch, and began fighting wars to turn Prussia into a colonial power. But the craziest thing I have ever done in that game was when I played as the Maratha (Indians from India).
In my attempt to unify the subcontinent under my rule, I declared war on Portugal, and captured Goa. However, the Portuguese wouldn't sign a peace treaty with me, so I decided to teach them a lesson. I crammed a bunch of cheap militia troops into a galleon, and sent them off to Europe to go raid Portugal. When I finally got there, however, Portugal was so weak that I just sent them to take it over, which they did quite easily. Thus, I turned the tables on the Europeans, by having India colonize Europe. While I set about converting the populace to Hinduism and allying with the British and the Turks, Spain and France declared war on me. After a long, brutal war through the Spanish countryside, I took Spain, and forced the remaining Spanish in Gibraltar and Italy to surrender their territories in America to me before I destroyed them. Eventually, I also took over France, and came to the aid of my ally, Britain, by conquering the fledgling United States. Eventually, everyone in continental Europe hated my guts, and I went to war with Austria, Prussia, Poland, and Russia at the same time. So I created a dozen full-strength armies, and executed a massive inland push, which ended with me having dominance over central Europe and the Balkans, with only Russia and the easternmost reaches of Poland still resisting my rule. It was pretty insane.
Also, at OP: I did pretty much the same thing once, in a world war II mod for the Civ IV giant earth map. I played as Turkey, and allied with ze Germans against Greece, helping the axis powers capture the Balkans, and the middle east.
edit: another fun thing I've done in a strategy game was in SupCom 1. I had a nuclear missile, and one of my enemies had his base covered almost entirely in shield generators, except for one small hole, which his commander was sticking halfway into. I fired the nuke at the commander, and it cause a double-nuclear explosion that wiped out his entire base in one fell stroke.