UFO Enemy Unknown is the best I've played, but the freeware game MechForce is pretty good!
+1 on both games. UFO Enemy Unknown is a great single player game although a faster system makes it much more enjoyable. MechForce really shines when playing with friends and playing with friends is always more enjoyable than playing alone
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I also enjoyed Warlords and most of the SSI turn based D&D games too.