I think I am the first in the thread I am not the first to mention Fall from Heaven 2, but it is still probably the best fantasy 4x out there, especially with the mod mod Master of Mana. It completely changes the CIV 4 experience in so many amazing ways. It is also really fun to play with friends, even over hotseat, because your strategy inevitably revolves around some hilariously broken combination of mechanics, rather than normal rock/paper/scissors warfare, be it mind control and chaos puppets or turning all land to ice.
Prime example being when my friend playing the Illians who wish to bring the god of winter to life, started a war with the entire globe from a position of power and then summoned the ice demon race, taking over them. As the war raged on, and Illian rituals turned everything into tundra, all the Illian dead fed my friend's civ as souls which could be units or population points, so his cities grew to size 30 in the early game and he started building an endless army of ice locust swarms that bred other locust swarms.
I conquered the peaceful desert people in the lands between us and summoned hell into my lands, turning the desert into a sea of flames he couldn't cross. I worshipped the god of thieves so he couldn't see my mages. My queen (Sheaim) teleported around the battlefield nuking locust swarms, while our flesh golems clashed over the impassable mountains (I taught him the 'merge it with a parrot/raven/hawk' trick to give the golem flight)
Great goddamn game, totally free mod. Glad Kael got a job out of it, even if Fallen Enchantress isn't nearly the game FFH2 is.