Hope I'm listing the right kinds of games here. I've never really heard the term "Strategy RPG" before... so I'm just listing strategy games that aren't modern-day-based.
FFT is like my favorite strategy game ever. The version for the PSP is pretty nice imo too... some graphics glitches (spellcast animations are at about 1/2 speed) are annoying, but the gameplay is otherwise much the same but with some improvements (rafa and malak are more useful, etc). Also the multiplayer stuff is fun, and there is a bunch of new gear.
Master of Orion 1 and 2 are freaking fantastic sci-fi, turn-based, strategy games. Moo1 is very old, you have to appreciate games that old to really enjoy it, but moo2 is modern enough that you can jump right in and not feel like you have to unlearn new games in order to understand it.
Heroes of Might and Magic 1-3 are not unlike MOO, but in a fantasy setting instead of scifi. Also freaking amazing.
Also, it's not totally/truly a strategy rpg... but Tecmo's Deception and the games that follow it (there are 3 or so others) are awesome. Kinda action/shootery... but you place traps around castles that you've lured bad guys (well actually you're the bad guy...) to, capture their souls, and sacrifice them to the devil. Quite amusing stuff with some strategy required in the later games to get great combos of traps.
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