To some extent, having more things just sort of fills it out; by itself, managing food or military or city placement might not really be in-depth enough. Managing the placement of cities that will then consume and produce food and construct military units you then use to defend it makes it more of a full game. It's analogous to why there's more than one enemy in an RPG- it's just not enough
stuff.As the aforementioned implies, having multiple parts also means each part is different- making sure your citizens don't starve to death is often subtly different than making sure they don't revolt, and usually considerably different to making sure your enemies don't box you in or your economy doesn't crash. This would be analogous to why an RPG has multiple
types of enemies- it's just more variety.
So to start answering your question for real, this combination means 4X games tend to be
incredibly open-ended. There can certainly be relatively universal truths (whoring research is frequently extremely effective, for instance), but the sheer number of fiddly bits you have to mess with means that there's almost always a lot of depth and customization possible. If you see placing cities and managing food supplies and producing research and selecting which units to build and selecting where units go and deciding how to respond to your neighbors as more of chores to take care of, I would imagine it's not very appealing. If you consider each of those to be an interesting choice you'd like to make, you've just blown the "which helmet do I wear and where do I put this skill point" that most RPGs feature out of the water.
Finally, I like the building and changing aspect a lot. Most games aren't especially heavy on letting you do either unless it's scripted- you might manage to blow up a gate, or an enemy could burst through a wall so you can get through there, but in terms of "the world was like this, then I did this, now it's like this," you're pretty much stuck with either someone assuring you that the village of whatever is now safe, or that area you just cleared out can't be accessed anymore. The first certainly
can be satisfying, but it's also usually predetermined; there's no way the village could
not be safe without skipping that quest or failing and having to respawn. The second is more a punishment than anything else.
To tack onto that, I tend to like the RP aspect of 4X games. They're telling the story of a fairly epic struggle, after all.
I'm afraid I don't have any good answers for your other two questions. Galactic Civilizations II is pretty nice, I thought, but many people apparently felt it lacked depth.
That doesn't exist, so... I will keep away from RTSs until there's something like that.
Majesty and Dungeon Keeper. Sort of. You could also check out the Critical Mass LP; it's fairly simple but has automated squadmates.