I'm currently learning Advanced Squad Leader and find it very enjoyable. It's certainly cumbersome to learn, but I'm fascinated by the extreme amount of detail and the pay-off is a great feeling of realism, one is tempted to say simulation, of company level combat in WWII. The same could be said of Phoenix Command Combat System, a highly detailed generic combat system that could be used as a combat system of any modern combat-oriented roleplaying game (or indeed any era, although I think the ultra-realistic hand-to-hand rules are a bit too deadly for epic fantasy RPGs, for example) or as a stand-alone boardgame.
I've also played a lot of Supremacy, which is great. I love the nuclear weapon bit, even though it has a tendency to spin things out of control. There's nothing quite as beautiful as a room full of frustrated Supremacy players stooping over a Supremacy board while the losing player is placing a forest of black mushroom clouds in a (usually successful!) attempt to cause nuclear winter and thereby draw the game ;)
That aside, I just tried Euphrates & Tigris a few weeks back and it was a very positive experience. I would also recommend Imperial, which is something like a trade-oriented version of Diplomacy (even the colours on the map are similar to the British Diplomacy board, as far as I recall).
I haven't tried Arkham Horror, but I've heard loads of good things about it and being a die-hard Call of Cthulhu gamer I simply have to try it someday.
If anyone have heard of an online version of ASL (ideally something similar to this site, only with ASL instead of Diplomacy) I would absolutely love to hear about it. Denzel, do you know of any sites like that???