Yeah, Paradox is really great with their games and the support and even how they sell them. I haven't played a game of theirs yet that I didn't find great to play, apart from Hearts of Iron series which for me is an overkill.
Grand strategy, well, that is way too broad. Here are a few games:
Making History Gold. It is a WW2 strategy game, you control any country you want. It is turn based, but it does not rely on history as much as other games. It is historically themed, but if you demand historic accuracy it is not for you. I find it a great game.
WW2:Time of Wrath. It is more like an operational level wargame, but I guess you could say it is a grand strategy game. You deal with the european theatre (plus north africa) during the (guess) WW2. You command divisions, corps, fleets and try to beat the crap out of the enemy. Perhaps my current favourite game of its type.
Star Trek Birth of the Federation. A 4X game in space based on the Star Trek world (TNG and a touch of DS9). You take control of the Federation, Klingon Empire, Romulan Star Empire, Ferengi e empire? Cardassian Union, and try to win. There are minor races as well. There are some problems with it, the game might be hard to find now days, you NEED to patch it with the 1.02 patch or just give up, the GUI you will either love or hate (I love). The battles are exactly like how I want battles to be in these games. You give orders to each ship or group of ships, then you press play and they execute your orders (and so does the enemy). Then the game pauses at the end of this phase, and you repeat. The strategic map (aka galaxy map) is more or less what you would expect from 4X games, on a 2D plane. The HUGE map is at best average compared to other games, but it is good enough. If you play at very hard then the game will be excellent, if you play at the hardest level then the game is almost impossible. There are easier levels too. Oh, there are also the Borg...thankfully you can disable them if you so wish.
For the ancient world, you can try Europa Universalis Rome and its expansion pack.
There are seriously too many games, so I could give more suggestions if you asked for a specific type of game and theme.