The only WW2 strategy game I've got is Sudden Strike. Quite enjoyed it at first, but trying to move dozens of tiny units and working out just what was going on in the middle of a battle dented its appeal somewhat. Also, you quickly learn the best way to win is just to move a few metres, obliterate everything with heavy artillery, then repeat. Aside from that, I have loved at various times Empire Earth (which covers everything from the Stone Age to space) Civilisation and Sim City, Total Annihilation, Age of Empires, Star Wars Galactic Battlegrounds and of course Command and Conquer
The problem I always have with rts games is that you can win just by rushing to build a massive army; the player with 10 tanks will beat the player with 5, which as we all know isn't that realistic