I've become enthralled recently by a handful of games by Paradox Interactive; a gaming company that seems to specialize in hopelessly complex simulation style games. I haven't been "in" to simulation games since my early years of playing the various Sim ____ titles by Maxis; but I find these Paradox games to be very attractive. They satisfy that "what if" need in the back of my head.
For example; Hearts of Iron 3 is a WW2 simulation...so what if the US got involved in the war in 1940? What if Belgium joined the Axis? What if the USSR never agreed to the non-aggression pact and allied with Poland? This game lets you see all of those things; and is very fun. The problem comes in its complexity. You can (and should as the AI is mediocre) control every unit your nation owns...every plane, ship, and army unit...it is very difficult to do so efficiently. On top of this, you also manage trade, diplomacy, production, intelligence, politics, and research...not a small task.
Another good game is Europa Universalis 3; which is a similar idea, except it features the world from 1399-18-something. You can play as any faction in existence at the time, and it is remarkably fun. This is the sort of game that is utterly unpredictable at times; and that is the enjoyable part. It has its complexities as well; but in all is easier to play than HOI 3 (from my perspective) because you tend to have fewer armies involved in battles at once.
I have one big issue with Paradox, and that is that most of their games have massive glitches, bugs, or elements that are unbalanced and make enjoyable gameplay difficult soon after their release. It is best to wait to play their games until a handful of patches come out; or wait until their inevitable 2 or 3 expansions come out. HOI 3 has 3 expansions now, and EU 3 has about 5 or 6. Paradox tends to abandon updates for their previous versions of the game as well; so if you have HOI 3 vanilla, some of your issues will never be fixed, unless you buy the expansions. This is not very smart in my opinion; but I do not own a gaming company; so I have little room to talk.
In any rate; if you enjoy simulation and alternate history; Paradox games are worth a look. They run sales on steam every now and then (one just ended that was a good discount). Enjoy