Hearts of Iron 2 (i know its already been mentioned) Homeworld 1 & 2 Panzers series. phase 1 etc.
Also if you have some friends or wife/GF etc who will play, i know its not a PC game but check out Memoir '44.
On the Paradox issue i agree with what Therion says but im willing to forgive them nearly anything because of Crusader Kings, one of my favourite games of all time.
I can 100% recommend "iron coffins" by Herbert A Werner, its a fantastic book on the perils of U-Boat warfare during the last years of the war. also as follow up reading to expand on that you may enjoy "torpedo Junction" by Homer H Hickman, this book tells the story from all sides of the U-Boat war off the coast of America.
In August of 2004, Zappi, Homba, Bambam887, RedScorpion and MOOXE all pitched
in to create this Close Combat site. I would to thank all the people who have visited
and found this site to thier liking. I hope you had time to check out some
of the great Close Combat mods and our forums. I'd also like to thank
all the members of our volunteer staff that have helped over
the years, and all our users that contributed to this site!