Ghorpm: You are absolutely right. A lot of strategy games irritate me with this. How come the last mission is the most difficult? I already control 95% of the world I should have had so many resources, superior technology, unstoppable army and reinforcements arriving from every direction. And yet only a few games justify it properly.
Try Civ4, you try to take over the world and they will throw everything at you. And make sure you try to takeover the world before the nuclear age, or be prepared to spread your forces all over the map. Unless you play on a normal or easy level.