Rise of Nations

Rise of Nation (2003) is probably the epitome of the RTS genre.
Although it didn't really bring an awful lot new to the genre, it took good ideas from other games and made it in to a great whole.
It uses trade routes, similar to Seven Kingdoms (1997). Food resources from farms similar to Age of Empires (1997), only the player doesn't need to manually rejuvenate them. Progression of ages like in Empire Earth (2001), and so forth.

It was designed by Brian Reynolds of Civilization II (1996) fame.
Perhaps unsurprisingly then, you can research a lot of different technology as time advance, organized into Military, Civic, Commerce and Science.
This of course make it possible for different strategies, civic for instance increases the number of cities you can build and the size of your borders. Entering an enemies borders causes attrition damage to your troops.

You could play as 18 different civilizations, all with their own special rules and some unique units. For example the Russians has "the Power of the Motherland", which, among other things means spies are half price and attrition damage to the enemy is increased. They have unique units such as the Cossack. Germany has "the Power of Industry", which among other things means cities gather more supplies. They have unique units such as the Tiger Tank. And so forth.
Really this means you should adapt your strategy according to the nation you play.
Apart from the usual resources of lumber and food and so forth, there is also knowledge, that requires scholars and universities.

The expansion Thrones and Patriots (2004) added 6 more nations. It also added a "conquer the world" mode, where part of the game is played in a turn based style reminiscent of Risk, but invading/defending is done in the games usual RTS manner.
This added a whole new dimension to the game, and there are 5 different scenarios to play, all with somewhat different rules and goals. 4 of them are restricted to specific time periods: Alexander the great, Napoleon, The new World and The cold war. The last one "The entire world" takes your civilization from the Ancient Age through, Classical Age, Medieval Age, Gunpowder Age, Enlightenment Age, Industrial Age, Modern Age, and finally to the Information Age.

This mode is surprisingly only single player. Actually I never played this game in multiplayer, perhaps because I much preferred this game mode.

A physical copy can be bought for €4-8, there is also a slightly updated version on Steam for €20 released in 2014.