I have to say don't spend money on a console. A lot of great games are supported on the PC, and there are even more games that are only on the PC. Plus, the Wii U marks the advent of this generation of consoles. I don't care if Sony says they'll continue supporting PS3 until 2015. That's only three years before your purchase is wasted. The next XBox is probably going to come out in a year or two.
So I say, get a custom computer built. Hunt down a guy who knows what he's doing. Get him to buy a bunch of individual parts, and put them together. With luck, you can get a desktop CPU with excellent speed, a great graphics card, and the capacity for 30+ gb RAM worth of memory chips/cards, for about six hundred bucks. Maybe less, if it doesn't come with a monitor, keyboard, and mouse. Or do the next best thing: purchase a good CPU (I recommend this), then replace certain bad parts with better parts.
For example, for the CPU I linked, here are the problems:
As for games themselves...
Obligatory Assassin's Creed recommendation. You can skip I, it's not so great, but II, Brotherhood, and Revelations are all good, and III seems like it'll be good.
Crusader Kings and Crusader Kings II if you like nation-building. It focuses more on the economics and diplomacy of conquest, with the only real strategy in wars being that you weigh the happiness of your vassals versus the number of troops you demand, what troops you use against who, and when and who you go to war. Here's a Let's Play of CK2 (or at least a few pages worth).
I'm going to go dig through the archives in this section, someone once mentioned that there was a company that made great strategy games...
Edit: Ah, yes! It was Paradox Interactive, the makers of Crusader Kings. I'll just leave their grand strategy games here. You can probably find them all on Steam, too.