Out of the older generation games, I liked Final Fantasy Tactics...
The battles were long, and it required a lot of strategy just to get through each battle, but I like games like that so it's fine with me. Another one would be the Fire Emblem games, cuz those require a lot of thinking too.
Out of the more recent ones, FF12 is the one I like most right now. I got through the Japanese one and am going to start on the English one as soon as I get it.