1. Age of Empires 2 & 3 (prefer 2 personally)
2. Hearts of Iron 2 (im awaiting HoI3 with great anticipation. comes out early august i believe).
3. Europa Universalis 3 ( i have it but have never really got on with it. No particular reason why, it just didnt click the right buttons)
4. Empire Earth 2 & gold edition
5. Knights of honor.
6. Civ II
8. Caesar II
9. Settlers I , II & III etc
10. Populous
11. Starcraft
and many many others that i have played over the years and forgotten
Oh and the not so empire but good anyway... Command and Conquer series. loved em when they first came out.