Stronghold
That game is awesome

I agree with Stronghold a fun game. Love just building a castle.

Whatever game tempts you the most. You don't need to play games, you should have fun with them. So there are countless possible replies to your question and also none. What is your motivation in playing those games, what type of games do you fancy?

If I was in your shoes and wasn't familiar with any of the games yet, I'd start with Sanitarium (also one of the shorter games on the list), but that's just me. If you like adventure games, chances are you might also like The Longest Journey and Beneath A Steel Sky. Heroes of Might & Magic is also very popular and said to be the best game of the series by many. But as I said, it all depends on what you're looking for.

The Longest Journey of course, one of the greatest adventure of all time. ;)

Stronghold
The Longest Journey
Heroes 3

I'd install all 3 and play whichever you feel like at the time (RTS, TBS, or Adventure).

You may want to grab a copy of Thief too. :D

Since you're a fan of RTSes (Command and Conquer), you'll probably enjoy all of the nuances in Stronghold. It's a game unlike any other I've played. You have to really negotiate what and where to build with more thought than any game.

You may enjoy Empire Earth, but it's very slow-playing and lacks too many features that we enjoy today. I'd recommend picking up a copy of Rise of Nations for a very similar game but with some nice features (like auto-formations and smart peasants). Nonetheless, I've sank 100s of hours into Empire Earth, so I can't call it a bad game by any means.

Heroes 3 is, by far, the best of those games, and probably the best game on GOG. When you get some spare cash, be sure to buy Sacrifice.

Let me throw in a vote for Sanitarium, if you're in the mood for an adventure game.

I'll also recommend HoMM 3, Populous 2 and Beneath A Steel Sky.

Of those? Heroes 3. Of all of the games on GOG? Heroes 3.

But playing HOMM 3 `first' means you'll never get to the other games!

Deus Ex is the best game on here.

If you're gonna play them all, start with the oldest one - Ultima IV.
If you're gonna play only one, play Heroes of Might&Magic 3.

Thanks all!

What games do I enjoy? Well, I've recently (going on a year now) fallen away from videogaming and really got into boardgames (specifically, those known as Euros). Strategic videogames that are similar to boardgames appeal to me. Right now I've been playing, learning, and getting demolished in Civ IV: BTS (chietain difficulty) as I try to figure out the strategies. Another game I enjoyed but eminently gave up on was Patrician III, mainly because there was too much going on under the hood and the fact that I couldn't see what was going on bothered me. Civ IV, while it has an overwhelming amount of info, most of it is available to read.

Sometimes to let off steam I'll play TF2, though if I somehow never played it again I wouldn't miss it. I also just started playing Metro 2033 last night, a game I bought ages ago that I never played. But ignore those, AAA games for the most part don't interest me (except I'm a sucker for Spider-man games, and want the new movie tie-in one).

Most of the games I bought here a while ago when they were on sale or free.

Sanitarium, since it's short, sounds like a good first game. I bought it because it was on sale and looked charmingly appealing. I've heard a lot of good things about Stronghold and I really like the fact that it has a campaign, which allows you to learn the mechanics incrementally (Civ IV needs a campaign like no game I've ever seen).

HoMM3 I've heard similar to what many here have said. I'm going to save that for last if it's so long.

Populous 2 I feel I need to play as I've heard great things.

The funny thing about being a boardgamer is that these old games are more appealing due to their reliance on numbers and engine building.

HOMM 3 is not so much long as it is replayable. Also, Populous 2 is kinda overrated...

If you don't mind the possibility of using a walkthrough (or maybe I'm just not that smart), consider trying Beneath a Steel Sky. It's quite good, and rather funny.