I've been spending way too much time playing Galactic Civilizations lately. This game is like Masters of Orion, but better. It is seriously hard.
The support from the company and the forums is great also. You can upload your game results and see how you are doing compared to everyone else. I'm not doing so well...
For $40 ($10 less than most other first-run games) this is a steal. You can even download it directly and save yourself a trip to the store.