I love Nippon Ichi games (Disgaea) because they have depth in gameplay and make you think. I think that games like Fallout of Baldur's Gate, even if they are great, lack depth and tactics in gameplay. So do you have any suggestions ?

The X-Com games immediately spring to mind as excellent tactical games. Among the GOG catalog some good tactical games are Fantasy Wars, King's Bounty, and Panzer General 2.

For fantasy, Temple of Elemental Evil. Considerably more tactical than Baldur's Gate. I'd say it's combat is more tactical than a number of pure tactical squad games. Designing, building, and developing your party (ranging from skill, feat, spell, and stat point choices) over the course of the adventure gives it a solid strategic element as well.

For more modern and futuristic settings, check out Jagged Alliance 2 and Incubation (from Battle Isle Platinum).

What about Fallout TACTICS? ;)

Agreed. You can also buy some old tRPGs from the PSX on the PSP like Front Mission 3.

There were also some on the GBA like three Fire Emblem games and the original Shining Force.

But when it comes to the PC, there are still a few gems in the same style. Jagged Alliance, Fallout Tactics, possibly both King's Bounty.

There are a few indie games that are decent as well, like Grotesque Tactics (not recommended, the humour falls flat imo), or Metal Brigade Tactics (cheap Front MIssion-like game, on sale @ Gamersgate now, not enough of a story for my tastes though).

Darkwind: War on Wheels
http://www.dark-wind.com

Hey GR I think you should try it, I dunno why but it sounds like it'll be right up your alley. Just...something about the permadeath nature of the game that I think you'll enjoy.

I REALLY wanted to like that game, I really tried...
In the end, I just couldn't get into it :/

Hmm, where exactly are the tactics in that game? Car combat, especially online one, is highly unlikely to be tactical in the way Nippon Ichi games are (which is what the OP says he likes).

You gotta give it time. It plays less like the usual fallout and more like Crusader but in a post apocalyptic setting.

It's turn based.

I don't know what Nippon Ichi's games are like, but since people have suggested Incubation, JA2 and even TOEE, I think Darkwind deserves a mention. You have big cars and small cars with varying degrees of stats, including speed, chassis toughness, armour points; then there are various permutations of weapon outfits that you can use, and each weapon has its own advantages and disadvantages in a fight; and then of course you can control multiple cars in a turn-based environment, and even get your gang members to fight on foot rather than in cars under desperate situations.

Sounds tactical ;)

Oh. I stand corrected then.

The heroes of Might and Magic series might work out. Battle Moon Wars too. But PSP is really the place to go for this genre.

I played Heroes Of Might And Magic 3 and loved it!

I tried the first X-Com a bit, but it didn't worked really well for me ; it seemed more like a strategy game, but I should retry it.

I'll look for Temple Of Elemental Evil, Jagged Alliance and King's Bounty as they seem nice.

For Darkwind, even if it's a great game, I couldn't like it because I have some aversion for cars...

Thank you for the suggestions!