Europa Universalis and the related Paradox lineup, because of their historical coherence.
Too many strategy games tend to treat the historical setting as just a skin, a shallow aesthetic choice, a "starcraft with horses" presentation, while they are really revolving around generically balanced puzzle logic.
The Paradox games might not be entirely "realistic" as such, but they are the only ones where I feel that the creators' intent was to get as close to simulating historical nations' functioning, as possible. Maybe Age of Empires's balanced maps or Civilization's balanced tech trees are "fun", but in a way, playing with any possible nation in the world can be fun as well, and not because they are equally balanced, but because they are not. Playing with Brittany and trying to avoid getting conquered by huge powerful France, can be it's own kind of fun, more so than in a Total War game where absurd maps are invented just so Germany and Hungary can be fairly balanced players.