On a note of HOI III, the AI, perhaps trying to be realistic, never tries to build up an army. Concidering building up your army will likely take you years...its reletively easy to conquer. If you start in the middle of the war, however, the AI already has an army. Its also pretty CPU intensive, well for me, anyway. Expecially when the AI has large armies. You have to go on like the slowest speed.
I remember when I was Germany, and had Japan join the Axes. Japan was invading the Chinese mainland(as it should), and I sent a reletively small force of tanks and personal through the Mediterranean sea, down through to East Africa, and landed on a small island south of the Chinese. It was like a fortification. From there it was reletively easy, surround the enemy, conquer, ect. With the weak Chinese unprepared, and Japan being dumb, I basically conquered all of China.
However, I think its pretty realistic and good if you have the time, as mentioned before.
You mentioned grand strategy? Im more into the battles themselves. I guess HoI3 as mentioned before, or Galactic Civ 2 if you want something towards that end.
Favorate RTS in principle would have to be Supreme Commander series, if only the AI or my connection was better(so I could fight actual players). Homeworld series, expecially the first ones, are just simply awesome. I hope they are working on the third one.