Either Medieval 2 or the original Shogun.
They're quite different games because of their age and budget gap. Shogun 1 involved chess-like pieces and simpler city-building and war mechanics, but in my mind it was such an innovative and intellectual game, whith good graphics for the time and excellent replay value and longevity. It really stood out of the strategy games at the time, as it still does today.
Medieval 2 was essentially a rebuffed Medieval 1 (which used the original Shogun's game engine) but running off a polished Rome engine on a bigger map of North Africa, Europe from Scotland and Sweden southward, western Russia, across all of turkey, Syria and Israel. Not sure why they included North-east america in the last 50 or so turns, as it takes nearly 20 turns to travel across the Atlantic! Not worth going there other than for sightseeing and the Aztec's were surprisingly tough. I only managed to gab about 3 cities with 3 full-sized armies. My worst rate success rate in that entire grand campaign. But yeah, Medieval 2 was just a bigger and more enhanced Rome. I enjoyed Rome, it's my third favourite of what I've played, but it didn't seem refined enough.
So those are my 2 favourites. I haven't played Empire, Napoleon or Shogun 2 as my computer isn't powerful enough, but I've just bought a new one so I picked up Shogun 2 for £8 in the Steam Winter sale. I'm looking forward to playing it once the computer's delivered!