I love the site Steamcharts.com. It’s a great place to see what people are actually playing. It uses the Steam stats as its basis so it’s a reasonably fair comparison for most new games.
Here are some fantasy strategy games:
Age of Wonders 3: King of the world!
FE:LH Hanging in there after all these years
Civilization V: KING OF THE WORLD!
Sins of a Solar Empire: Yea, it’s awesome!
and lastly…GalCiv II, most copies sold prior to Steam (so most players aren’t counted) and it’s 8 years old but still going strong!