About wargames, i'm training on Command Modern Operations. I've played a lot on Dangerous Waters (I've made my duty in the french Navy), but just gave a small try on Cold Waters. Seems good, but mods are needed as to play funny things. When i've tried it, i've sunk three ennemy ships and a sub. That's a lot ! CMO is way more complex and unforgiving, but the HUGE database, thousands of scenarios available, the different playable eras makes it very attractive. For now i've spent hours on... tutos ^^. The game is realy expensive (more than 100 €), but i think it's acceptable for such a good quality.
On a more tactical scale, but no naval combat, Combat Mission is my favorite one.
About air combat, of course Eagle Dynamics' Digital Combat Simulator is the big one, but my PC's specs are too weak, sadly.