Peachpit offers an in-depth article on Designing Strategy Games with lots of useful ideas for aspiring strategy game builders. The article is a compendium of knowledge collected from eleven different expert developers from eleven different companies, each offering their own tips and tricks on how to get things done.

Some quotes that I especially liked:

"Get something running in the first month that you can actually play. (It doesn't matter if graphics aren't so great.)"
-- Brian Reynolds, Big Huge Games

"Each strategy should have both a unique strength to make it cool and a unique weakness to keep it from being too powerful."
-- Brian Reynolds, Big Huge Games

"There's a temptation to create "the ultimate game of all time," so keep your focus on a couple of cool features, make sure those are great, and leave some room for a second game."
-- Sid Meier, Firaxis

"Don't imitate successful games only to the point of being at least as good as they are on their strong points. Create a new experience with your game. Nobody buys imitations."
-- Bruce C. Shelley, Ensemble Studios

"In the end, game design comes down to interface design-the key to making games playable is how you'll get people to interact with your concept and how simple the interface is."
-- Peter Molyneux, Lionhead Studios

So if you're looking to design a strategy game, check it out. You may not be aiming to create anything on the scale of what these guys make, but I'm sure you'll find something in there that'll give you some food for thought.