Mine's also a tie but it's between Devil May Cry 3, Warhammer 40k: Dawn of War and Heroes of Might and Magic 3.
You all know DMC3 but WH40k: DoW is my favorite RTS. It's races are very unique, there's a lot of depth if you want to get good at it, even though it's old, it's still great fun to watch the armies clash because of the pretty cool animations and effects which I'd say still kind of hold up. It also has a pretty cool story up until the Soulstorm expansion. Although, the expansion did invent the "our enemies hide in metal boxes" line.
HoMoM3 is a RPG/Turn Based Strategy mash. It has great replay value, great depth to the turned based combat, great story, great RPG elements and it's also a blast to play with friends (although it takes about 5 hours to finish a game).