I don't know which strategy RPG to play

[NemesiS]

Pretty much bang the same drum here.

Final Fantasy Tactics
Disgaea
Tactics Ogre is very good. (a DS verison in the works by all accounts)
Vandal Hearts 1&2 and even the 360 version is pretty good if a little easy/short.
Shining Force
Fire Emblems are okay
Front mission

[fatbatch]

Also various incarnations of Advance Wars. Phantom Brave has a sad story and came out when Nippon Ichi had so much promise. Hoping Disgaea 4 will signal a return to form.