As far as Grand Strategy goes, EUIII got comparatively close, but blundered in many ways, and is a very limited experience overall. MoO3 also tried to take a somewhat proper approach to macro-management, but that's about all the good to be said about it.
ArmA is a good one for FPS, but the game is purely about bland old american soldiers fighting small skirmishes against the minor evil du jour. As far as I'm concerned, FPSs have to get away from that schtick and take their gameplay realism into more creative, fictive worlds.
Star Ruler went to newtonian physics, but the game is so ridiculously bland and devoid of features you might just as well be throwing rocks around.
Jagged Alliance in TBS is pretty neat, aside from being a TBS. Given that you prop it up with a healthy dose of the 2.1.13 mod, that is.
Obviously, there's DF in the RTS and RPG corners, never mind the obvious fantasy aspects. At least it gets its realism down rightways, except for, for example,...no poo? WTF!
But really now, I do wonder...realism, with only very few abstractions where absolutely necessary, brings enormous intrinsic advantages in immersion and balancing. You just take it, make your game to work by realistic rules, and put it into an interesting scenario...how hard can it be, gaming industries, HOW HARD CAN IT BE!?