It would be a three-way tie between Romance of the Three Kingdoms II, MechWarrior 2, and MechCommander.

Romance was one of my first strategy games, and it also led to my interest in the Three Kingdoms Era of Ancient China.

The other two I got into because I used to really like the BattleTech: Firestorm simulation that used to be in Dave & Buster until they removed around 1998.  However, it was those two PC games that really got me interested in the BattleTech lore, and I still think that they have some of the best intro and ending videos I've seen in video gaming.