Civ 4 has way more interesting and challenging combat than anything Firaxis has released since.
In practice, absolutely no question. On paper, I'd argue that Civ 5's combat is potentially more interesting and challenging. It's just implemented in such an absurdly awful way.
Like when what's-his-face, the lead dev guy, said that he wanted to do a more Panzer General-style combat, I didn't think that it was literally going to be a super-shallow version of Panzer General superimposed on Civ. And yet that's what we ended up with.
I honestly think that a 1UPT tactical combat can be both very deep and incredibly fun, it's just Civ 5 (not to mention the atrocity that is BE) managed to make just about every possible mistake there is to make with it.
Plus in 4X games, it's always a balance, you know? Between macro and micro, I mean. Games like Age of Wonders and even Master of Magic work with tactical combat because the empire management aspect of those games is relatively simple. IMHO in Civ the empire management has always been way more interesting than the combat, so focusing on the combat seems like a bit of a mistake - like they don't understand what made previous games great. It'd be like if someone said "Hey, you know what made Deus Ex a great game? The gunplay. So let's cut out the story, dialogue, options, and decisions, and instead make a Deus Ex sequel that focuses mostly on the shooting." This is, of course, a completely hypothetical situation because such a sequel to Deus Ex never happened. Right? It. Never. Happened.
Same principle, though. I mean when I play empire-building games like Civ or Dominions or basically anything Paradox has made I'm not like "Dag yo where's the tactical combat at." Just like how when I play Panzer General or Jagged Alliance 2 or XCom or some weird-ass Japanese game like Final Suikoden Emblem Tactics 47: The Villain Almost Finishes Masturbating Over A Traumatic Event I'm never like "Dag yo where's the strategic management at."
I can't remember any games that have succeeded at both excellent empire management and excellent tactical combat (even the great MoO 2 couldn't quite pull it off IMHO), and Civ 5 is, unsurprisingly, no exception.