There are a number of very good games listed here, but if what you’re after is a “more chess-like” war game (a special note about Europa universalis, one of my all-time favorite games. And Master of Orion II is great too) then what you’re probably after is a classical turn-based wargame (where you play one of the side in a normally historical battle or war, with general few or no “ressource management”.
Unfortunately, as mentionned by some posters, these are rarely (if ever) produced anymore, with the success of the Real Time Strategy (the kind of games that require cobra-like reflexes).You should probably look in the “oldies” bin in your PC games store, or even search for abandonwares. For instance I was playing recently again “Civil war Generals II” which is a good wargame including several campaigns during, of course the civil wars. Or before that, "the Operationnal Art of War, which is IMO one of the best wargame for the modern era, including battles from WWI to the Gulf War, but with a quite steep learning curve. But there are plenty of others, the most common taking place during WWII, the american civil war and the napoleonic era.
Someone mentionned the “Panzer’s general”, “people’s general”, etc… serie. They’re certainly good games, and if you never played a turn based wargame you might want to try these. They have a flaw, for people like me who played a number of wargames, which is that the scale is undetermined (you don’t know if your basic unit is say, a platoon, a regiment, a division) . It shows, and I find it an annoyance. But they’re fun.
By the way, I recently noticed to which extent the turn-based wargames have slipped out of the radar. Reading the “player’s comment” about some old wargame on some site, I came across one such comment where the player complained about the game, saying that it was boring, with no nice graphism, and it was more similar to some boardgame than to a real PC strategy game. He added that in his opinion it was some kind of failed attempt to imitate RTS games. Obviously, he never had heard about turn based wargames, and had no clue they predated by far RTS. That floored me.
By the way, I don’t like much RTS myself, either. I had some pleasure playing “cossacks”, for instance, but nor the management, nor the battles look realistic, and more imortantly, I like to think, plan and take my time, and you can’t really do any of this with RTS. I don’t like being rushed that way, clicking everywhere as quickly as I can. A real time but slow-paced and realistic wargame would be great but I don’t know about any of these.
Of course, there are good and poor turn-based wargames, like any other game. For instance, during the recent years, I have a very good experience playing the virtually unknown “Divided Ground” (a tactical wargame about the arab-Israeli wars) while “Napoleon 1813”, that included all the features a wargamer could dream of (playing both the battles and the strategical moves and recruitment, taking seriously supplying into account, etc…) was a total failure due to bugs and more importantly to a completely incompetent AI.