Europa Universalis III is one of the most in depth strategy games available. Having been produced by Paradox Interactive, it is a Grand Strategy game. Those who enjoyed the Civilisation series or the campaign map may enjoy this game. I recommend downloading the demo first, as it it a very in depth game that has a pretty steep learning curve. I recommend to those who buy this, to buy the expansions as well, or just buy EU3: Complete (also available on MightyApe).
The game is similar to the Hearts of Iron series, Victoria and Crusader Kings. Though EU3 focuses on colonosation and empire building, whereas the other focus on other aspects.
The game is very enjoyable (if you take the time to learn it), and the community develops a wide range of mods, which extends the replayability even further. Replayability is already very high as you can play as hundreds of different nations and can choose when you want start, meaning you can start as a struggling France, or a French Empire, etc… The entire world is represented as is quite accurately portrayed, while still maintaining fun gameplay.
For more information, I recommend visiting the Paradox forums. the community is quite friiendly and is mostly mature, adult. The actual game developers often post on the forum, and often implement (viable) changes recommended by the fanbase.
From me, a 5/5. But really, the game is different for each person. Give it a go, and learn it (the community is good for this).