Advanced Squad Leader
Advanced Squad Leader (ASL) is a tactical level counter based wargame set during the Second World War (a recent expansion also adds support for the Korean War). Although great fun (if tactical WWII combat is what your into) it is preposterously complex. How complex? The 'Pocket Edition' of the rulebook is 3/4 of an inch thick. The full version takes up most of a 2 inch 3 ring binder.
There is a simplified version available (ASL:SK), however, it is still very complex. Don't expect to be able to just sit down with your friends and play.