Hegemony: Philip of Macedon is like SoaSE in Ancient Greece without the base-building, and I think a tad bit more strategic depth.
If you're looking for space 4X, you aren't going to find another 4X-RTS until Star Ruler (as far as I can tell).
Good 4X space games include;
Sword of the Stars (Thank you acare)
Space Empires 5
Distant Worlds
Funnily enough, without intending to, that list is more-or-less in order of complexity, as well.
The Homeworld series is slowly aging, but is still stupendous. It's responsible for the games I just listed as well as Sins.
Games in the mould of Age of Empires could be;
Rise of Nations
Empire Earth
And finally, to round out the list, a few games that don't really fall into any major category, but are still heavy on the strategy:
Nexus: The Jupiter Incident (squad-control, single fleet based, no-building, scenario driven)
Commandos (much of the same, but a bunch of WW2 commandos each with special talents, challenging)
Majesy (ONE! 1! Don't get 2. You have no direct control over the heroes you build, and have to entice them to do things. they all level and can buy equipment, very RPG style for the heroes)
Darwinia (Try the demo. It seems to be a very polarizing game. You love it, or you don't.)
DefCon (The movie War Games, with you playing as the computer doing the simulations)
Hopefully something in these lists catches your fancy.