1. Dwarf Fortress
2. Medieval Total War
3. Medieval Total War: Viking Invasion
4. Fragile Allegiance
5. Age of Wonders
The first is a given. Two and three I played to death. First MTW 1 for like ... a couple of hundred hours and then the expansion for another couple of hundred hours. The only game I played more than MTW was World of Warcraft, but I'll be damned if I am putting that game in my top 5. World of Warcraft sucks you dry and is the online equivalent of crack.
Fragile Allegiance ... God, I loved that game. Right now, I feel the urge to boot it up again and start nuking some Rigellians. I hate the Rigellians. Damn brown sniveling aliens, nuking my colonies (literally, they shot over a dozen nukes and each flashed the screen, tauntingly) and then claiming it was MY fault. They got the message when my Devestator missile (aka Asteroid Killer) vaporised one of their mining colonies into very small chunks. ... Alright, tonight when I get home from my exams, I'm so gonna nuke them again.
Age of Wonders narrowly won from the first X-Com. I liked it for its art style, it's mechanics and its Orc Warlords. Mmmm, green giant armour-plated machines of death and destruction ...
If the list allowed for a top 10, I would add:
Homeworld
Homeworld Cataclysm
X-Com
X-com Terror From the Deep
Total Annihilation
Gosh, there have been a lot of great games over the years.