-Emperor: Rise of the Middle Kingdom
-Caesar IV
-Children of the Nile
-Europa Universalis III
-1701 A.D.
I've played all of these games pretty much to death. Here's my take on them:
Emperor: ROMK - Pretty much a classic Impressions-style citybuilder (like Zeus, Pharoah, C3). Campaign settings are good and the feng shui system works well. Only downer is that the combat is cumbersome (like all impressions CBs), there's quite a bit of it, and monument building can be a very tedious process in some of the scenarios. Still highly recommended.
C4 - Very much in the Impressions style as well (since TM built it) and just as good. Online implementation is neat. If you want more of C3, it's good-and better than the reviews give it credit.
CotN - From Tilted Mill, but turns their original citybuilder formula totally on its head-and that's the reason why the game has such a love/hate relationship in experienced CB circles. The game very much features organic city growth and it's often the city's residents who dictate actions from the player as much as it is the terms of the scenario. TM has recently released a Enhanced Edition on Steam with some much-needed upgrades and it's certainly cheap enough to take the plunge in. I really like the game (I have spent about 60 hours with it since the re-release) and have posted some stuff on the forum about it-give it a search to find my impressions.
EU3 - The most hardcore game here, and the best in terms of its "sandboxiness". It's really a big historical geopolitical simulator that rewards players who have ideas as to where they want their nation to grow and B) have a good understanding as to how far they can push the rules of the game to get there without going too far. Much wiki reading over at the Paradoxian wiki will be needed to get up to speed with the game, and to be honest the game without at least the first expansion is really rough around the edges, even patched. However, if you want to play one of the most ambitious and historically loving games ever made, EU3 + the two expansions is, at least right now, the greatest thing ever.
As a bonus, once you understand EU3, you can easily move on and play really badass shit like Hearts of Iron 2, WW2 game of the forever, Victoria, and Crusader Kings, all of which are games that really have no peer in the entire gaming continuum.
1701 A.D. - Again, different than the rest because while it is a citybuilder at heart, it's much more about managing growth and supply chains while aggressively expanding to keep out the competing players. It's that competitive nature of the game that makes it different-each time you are not just going up against the rules of the scenario and the map, but also the competing players, which are generally well implemented. They add an element of tension and urgency that's usually not found in most citybuilder games. Also, the game looks great.
If I had to choose, I'd choose in this order:
EU3
Children of the Nile
1701 A.D.
Emperor: ROMK
C4
All of them are easily worth playing, though.