Hearts of Iron II! Even though its not exactly turn based, the 'turn' is an hour in game time and time ticks off by hours.
Anyway - the game simulates the time period 1936-1947, you can play any sovereign nation that existed at that time - from Germany (always a popular choice) to Peru. Each nation has its own political ideology and cabinets staffed by real people of that time, but you can change the ideology over time and replace political leaders as you see fit. This allows for scenarious like Canada slowly turning authoritarian, leaving the Alliance and invading the US. There is really no goal to the game besides ones you set yourself - how about world domination?
Combat is entirely strategic, occuring at the division level. Battles are affected by the terrain, time of day, the respective type/strenths of the opposing troops, leader traits, weather, the number of attack directions, land and coastal fortifications, organization and morale of the troops, supply efficiency, and combat events like counterattacks, assaults, encirclements and ambushes, which depend on your land doctrine and how far you have researched it.
Military leaders are based on real people - expect to meet Manstein, Guderian, Patton, Rokossovsky, Zhukov and tons of others. All of them have traits that approximate their skills and abilities in real life.
As for military units, you have air squadrons of fighters, escort fighters, interceptors, naval bombers, strategic bombers and tactical bombers. Land forces can have regular infantry, motorized, mechanized, armoured, marines and airborne (you want these) divisions. There are destroyers, carriers, battleships, subs and everything you would expect of that time period.
Get the latest patch, as it makes the AI much better at front management.
This is starting to look like a PR review, but this game is really good, and if you haven't tried it, you should.