All these suggestions sound awesome. Puerto Rico is some dense strategy and resource management. I tend to like those kind of games, but they take a lot of setup and patience. Then the strategery begins!
Usually about eighty minutes before all 1-8 players are ready to take their turns. There's mechanical artificial intelligence, hundreds of cardboard chits, 1920s horror and role-playing. The game is cooperative - everyone is on the same team, facing down terrible eldar gods from the great beyond, etc. It's a deep hoot.
Also, along those lines, Talisman: http://en.wikipedia.org/wiki/Talisman_%28board_... - this is another game that feels so complicated it should have been a computer game. But then you play it for a short while and it's so rich that you can have these hilarious competitive potion flinging contests with other players, etc.