I have always been a fan of the Command & Conquer series. I consider C&C a classic so I recommend downloading the Command & Conquer: Tiberium Wars demo. (the game is coming out soon in late March)
Here is a link: http://www.gamershell.com/download_17978.shtml
Another strategy game that plays a bit differently than C&C is Company of Heroes. This game is set during WWII and it has beautiful graphics and cinematic cut scenes that seamlessly fit into your battlefield game play. This game is already out and here is a link to the demo: http://www.gamershell.com/download_15378.shtml
You should try a few games and figure out what is appealing to you. Do you like historical settings? Do you want to have futuristic weapons and units? Do you want fast paced gameplay or a slower paced gameplay? (good strategy games allows for both) Do you like the way the economy and the infrastructure of the game are designed and managed? Do you like the way you are allowed to view and use the terrain? Are the different factions and units in the game balanced? Does the single player mode challenge you with its A.I.? Is the online play fun?
I would say definitely give C&C a try; I love the gameplay, I love the types of units you can create and the super weapons you can unleash on your opponents. C&C has a loyal following, so there will be plenty of new players and vets to challenge online once the new game is released near the end of March. I hope this post helps you.
Company of heroes is quite nice and allmost worth playing. C&C series are fun for a little while, but if you are looking for a good RTS then you should aim at something like Sudden Strike or Blitzkrieg, not Blitzkrieg 2 though.
Try out the demo of Supreme Commander, it's pretty simple, build massive amounts of units, huge experimentals, nukes, air, battleships, tanks, just make sure you patch if you buy (there was lots of issues, nvidia cards espeially).
Also c&c3 is coming out at the end of the month, try out the demo.