This list is (and will always remain) incomplete. If you don't see something listed, try suggesting it.
Last Updated June 15, 2012.
Advance Wars: Dual Strike
Advance Wars: Dual Strike is a wargame-lite with some rarely used concepts like playing over two battlefields on both screens. Includes a campaign, scenarios, and challenges. Not a very balanced or even difficult game, but it's good fun figuring out ways to break the game with the various combinations of COs (commanding officers).
Advance Wars: Days of Ruin
Days of Ruin returns to the simpler mechanics that defined earlier Wars games - no more dual COs or crazy game breaking powers. It's another wargame-lite with the same quality gameplay and UI you should expect from Intelligent Systems. Unfortunately, reports were that Advance Wars: Days of Ruin did not do well in NA, and it was cancelled in Japan despite being already translated in Japanese.
Age of Empires: Mythologies
The sequel to Age of Empires: The Age of Kings. It plays much like a turn based RTS game with resource collection, buildings, and tech trees in addition to tactical combat. Mythologies is much improved with a better campaign, less lag, and less bugs. It's one of the rare western developed console tactics games that I felt was well done.
A quirky tactics game involving usable cards that affect gameplay, stylus minigames, and fighting robot bugs. The main campaign is decent, but the most fun is to be had in the 60 extra challenge stages, the last of which are pretty interesting.
Fire Emblem: Shadow Dragon
A solid Fire Emblem title that took a lot of flak for its simple plot, lack of character development, pre-rendered battle animations, and the requirement to kill off most of your army to reach the gaiden (side) chapters. Although it's not among the best in the series, you won't be disappointed if you appreciate Fire Emblem for its fast paced tactical combat.
Knights in the Nightmare
A turn based tactics game mixed with bullet hell and other realtime elements. It's one of Sting's most creative and well renowned strategy titles. It takes some effort to learn the mechanics, but it's worth it to experience a unique and well designed strategy game. A port is also available on the PSP.
Panzer Tactics DS
Panzer Tactics takes the WW2 wargame genre most commonly found on the PC and shoehorns it onto the DS. Expect realistic units and scenarios, hexes, expansive battlefields, and primary/secondary battle conditions. The UI is a bit laggy, but that shouldn't stop you from giving it a try if you like WW2 wargames.
Rondo of Swords
A tactics game that allows you to pass through multiple enemies while dealing damage to them. Instead of treating it like a gimmick, Rondo of Swords makes good use of its rare mechanic with plenty of interesting campaign scenarios. It's a solid game that doesn't get a lot of respect, maybe because of its above average difficulty combined with its pass through mechanic.
Shin Megami Tensei: Devil Survivor
A tactics game where combat outcomes are determined by a RPG-like battle minigame involving elemental strengths/weaknesses and other skills. Devil Survivor places heavy emphasis on creating, customizing, and fusing demons to use in your party. It's another interesting tactics experience that you likely won't find elsewhere.
Shin Megami Tensei: Devil Survivor 2
The sequel to SMT: Devil Survivor. More of the same gameplay and survive or die style plot. It's just as enjoyable as the original so pick it up if you liked the first one.
Valkyrie Profile: Covenant of the Plume
Another good tactics game that got a lot of flak for its punishing difficulty and lack of available grinding. Up to 4 units surrounding an enemy can gang up with combo attacks and special abilities, so placement and prediction is key. If you don't 'overkill' normal enemies enough you'll have powerful boss-like realmstalkers sent after you in the next mission.
Battleship for DS/3DS
Another pretty good Sting developed SRPG. Not nearly as crazy as Knights in the Nightmare, Gungnir is more of a traditional tactics game like Tactics Ogre, except with less grinding and more difficulty. Like most Sting games, expect to spend at least an hour or two figuring out how the game mechanics work before proceeding. Gungnir has a scoring system and rank mechanics rarely found in tactics games, and getting high scores on the Nightmare difficulty is pretty difficult.
Jeanne D' Arc
Jeanne D' Arc is on the easier side of tactics games, but it's solid and well designed with lots of polish and effort put into it. Experienced gamers might breeze through it, but they'll still enjoy the ride thanks to interesting scenarios, well done UI, and fast paced combat. Just because a tactics game is easy doesn't mean it's bad.
Legends of War: Patton's Campaign
A hybrid turn based FPS similar to Valkyria Chronicles or Warhammer 40k Squad Commander, except set in a realistic WW2 wargame environment with more complex game rules. Features a scoring system and difficulty modes. Not for beginners.
R-Type Command is a turn based take on the R-Type series, featuring many ships and creatures from the series. It's relatively complex for a console game and gets difficult late in the campaign. Most panned it for being overly complex and lacking plot/character development, but that shouldn't bother someone interested in learning the mechanics and engaging in some thoughtful tactical combat.
Valkyria Chronicles II
An innovative cross between a FPS and a turn based tactics game, where your units run and shoot (one at a time) through the battlefield while avoiding enemy fire. The PSP sequel drew a lot of complaints for its reduction in map size, small deployment limits, repetitive maps, and randomized class promotions. It's still a pretty fun game though, worth playing for the well designed FPS/turn based hybrid experience. Just don't expect a masterpiece.
Wild Arms XF
A rather hardcore take on Wild Arms that caught fans expecting your typical RPG level difficulty by surprise. It features above average difficulty and complexity, so anyone seeking a game that has both depth and the requirement to utilize it might enjoy what's on offer. And when was the last time you saw a console SRPG with hexes?
A well regarded wargame-lite that introduced a lot of new players to the genre. Simple deterministic mechanics combined with well designed maps, scenarios, and a challenging Advance Campaign that is still one of the most difficult tactics challenges you can find on a portable system.
Advance Wars sequel dialed down the difficulty and added a few new mechanics, but otherwise kept the same formula as the original. A solid wargame-lite.
The first Fire Emblem title to be localized in NA. It's a classic with a solid scoring system, difficulty modes, and addictive permadeath/RNG gameplay. The tutorial screenshot was the only one I could find.
Super Robot Taisen: Original Generation 1 and 2
Two of the only Super Robot Wars games to be localized in NA. OG2 is the better game, but with only two games to choose from, you should probably play both. Super Robot Wars is a long running SRPG series featuring giant robots beating the crap out of each other.
The Lord of the Rings, The Third Age
A surprisingly competent western developed tactics game based around The Lord of the Rings franchise. Much better than the awful PSP version. It's simple but enjoyable and worth a try if you've exhausted the other GBA classics.
Front Mission 3
Not the most tactical or balanced Front Mission game, but still plenty of fun to be had. One of the rare mech tactics games where you can eject pilots out of their robots and kill them.
Nectaris: Military Madness
Nectaris is an old school but functional Wargame-lite. The Playstation version comes with quite a few tactically interesting missions and a map editor. Expect no frills and a rather outdated UI.
One of the few Daisenryaku games to be localized in NA. Daisenryaku is a WW2 style wargame series with realistic combat mechanics and hundreds of unit types based on real life militaries. I haven't played this entry specifically but it's probably as good as the rest of them if you like tactics games. Has a map editor if you're feeling creative. Also available on the Xbox and PSP, although the PSP version was never localized.
A lesser known but decent tactics game. Above average difficulty, lack of mid-battle saves, and no grinding.
Front Mission 4
A mech/cover shooter tactics game with good mechanics and customization, a well designed campaign with plenty of variety, and challenging scenarios to unlock. It got a lot of flack for its boring plot and above average difficulty, but serious tactics fans should give it a try.
While I haven't played through much of Suikoden Tactics myself, it looks like a well designed tactics game with some challenging S ranks to aim for.
Battle Academy is a tactical cover shooter. While it's based on realistic WW2 units and combat situations, it's not as heavy on the realistic mechanics and stats. Also available for iOS.
Battle for Wesnoth
A long running open source fantasy tactics game. Features an enormous amount of official and user made content along with a map editor with full campaign and scripting capabilities.
Fantasy Wars and Elven Legacy
Two hex based fantasy SRPGs. Very enjoyable for experienced tactics gamers, but beginners might be off put by the difficulty level, even on the easiest mode. You earn medals based on how quickly you clear a scenario.
Field of Glory
A tactics game focusing on ancient historical battles. Field of Glory's mechanics are modeled after real tabletop games, allowing you to unleash your inner grognard.
Panzer Corps/Allied Corps
A tactics wargame in the style of Panzer General. If you like classic WW2 wargames, you'll enjoy Panzer Corps.
Panzer General and other games by SSI such as Steel Panthers
A series of classic tactics wargames including Panzer General, most of which hold up pretty well even today.
Yes I'm totally biased by adding a tactics game I contributed to here. And it's a pretty good tactics game. There are over a dozen classes each with unique and balanced abilities, a wide variety of missions and map objects, scoring system, even raid bosses. So deal with it.
What discussion of PC tactics games could be complete without a mention of X-Com? X-Com: UFO Defense is regarded as a classic, although the UI hasn't aged very well and it's not particularly balanced. It's regularly praised for its dynamic combat with randomly generated maps and a complex strategic and base building layer.
X-Com: Enemy Unknown / Enemy Within
A decent tactics game that has solid mechanics, but lacks depth and variety, and encourages camping on the higher difficulties. Worth playing at least once.
Unity of Command
Basically plays like Panzer General with supply lines. While it's an operational level game, it's so light on operational level mechanics that it's basically a tactics game.
Jagged Alliance is a turn based cover shooter. You're placed on a large island and given lots of options as to how to move around and take out enemy forces. Tends to be slow paced.
Skulls of the Shogun
Skulls of the Shogun is a fast paced arcade style tactics game designed for competitive multiplayer. Available on Windows 8 and Xbox Live Arcade.
There are lots of great indie tactics games on PC.
An innovative cross between a FPS and a turn based tactics game, where your units run and shoot (one at a time) through the battlefield while avoiding enemy fire. While moving your unit around, enemies can spot you and shoot, but can't move themselves, although you can move them around a bit by throwing grenades and such. VC has a decent scoring system and some challenging DLC.
Another much maligned tactics game for its above average difficulty, permadeath, lack of in-battle saving, poor camera controls, etc. To say this game was brutalized in reviews would be an understatement. Look past the wonky camera though and you'll find a good cover based shooter with lots of interesting tactical situations. For experienced tactics gamers only.
Military Madness: Nectaris Remake
A port/remake of Military Madness/Nectaris, a wargame-lite with simple mechanics and a few interesting missions here and there. Think of it as an alternative to Advance Wars. Also available on Wii and PS3.
Military Madness: Neo Nectaris
A remake of a previously unreleased Nectaris game. Not the same as the Playstation version or the remake of the original on Wii/PS3/360. Its above average difficulty will send most iPhone players fleeing for Angry Birds or whatever.
Battle for Wesnoth HD
An expansive, open source hex based tactics game. The iOS port is not open source, but you can take it on the go and play through most or all of the content from the PC version.
Reign of Swords
Lots of other iOS games I haven't gotten around to playing in depth.
Games I haven't yet played, but might be worth a look:
Dawn of Heroes (DS)
A western developed tactics game that struggled to gain attention, then faced poor reviews for its difficulty and lack of polish. Combat is focused around heroes with various abilities, somewhat like Hero Arena or MOBA games that are popular today. Unfortunately animations are unskippable so that might be a pain to deal with. Expect to run into bosses and challenges that require specific hero/skill/gear setups. I haven't played it myself but it might be worth a look.
Mytran Wars is another western developed tactics game that failed to get much recognition or praise. It features customizable mech based combat and plenty of tactical gameplay to dig into. I haven't played this one myself so approach with caution.
Import titles: Ready to learn some Japanese?
There are a lot of import games I've never heard of or played, so feel free to suggest something.
Super Robot Wars Series*
SD Gundam G Generation Series
Fire Emblem Series*
Valkyria Chronicles 3
R-Type Tactics II: Operation Bitter Chocolate
Front Mission 2*
Tear Ring Saga*
Front Mission 5 ~Scars of the War~*
* = Unofficial English translation patch available