There are many wargames available for free, and many are very decent ones indeed. Tactical level games include already mentioned SPWAW, and many others like it. One free operational level wargame, despite of its name, is Advanced Strategic Command. And for free strategy level game I offer you FreeCiv.
Then are games that have elements from all of the various levels. In UFO: Alien Invasion is strategic level map of whole world, where bases are built and expanded, troops and weapons are bought, captured alien technology is being studied etc. When player commands his troops to attack & secure crashed UFO, scale goes to tactical scale where troops are moved one by one. There is legion of such games: UFO & X-Com series, Jagged Alliance serie, Imperium Galactica serie, Empire at War, C&C3 Kane's Wrath, Total War serie, and then some. But cost free games are cheap way to find what you would like to play.
See topic Free strategy games for more, and feel free to contribute on thread.
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