What is your favorite turn based strategy game? My favorite is Fire Emblem Path of Radiance for the GameCube. Not my first experience with genre but the first one I really understood. Plus the whole Fire Emblem series is laden with amazing stories. Not to mention they can be punishingly difficult or amazingly easy. They have amazing amounts of replay-ability, and the permanent death is an added challenge.
The best one I've played recently is X-Com Enemy Unknown for the Xbox 360. It has a few issues but I still love it.