I've heard others speak well of the Mount & Blade series. Apparently "Warband" is the one to get.
I own it and it's fun, but.. I don't know if I missed something early on, but I have no idea what I'm intended to be doing. I just spend my time running around with an army, slaughtering bandits and other countries' soldiers. If there's a story, or an objective I should be going for, I have no idea what it is.