Are there any real military strategy games on the consoles? Not really. I am not talking about the RTS twitch game crap. Although you may consider those strategy games, OK I guess they do have strategic elements.
But the true "Strategy Game" genre has yet to reach the consoles fully. The reason is that they are complex, usually have base graphics (total war is an exception), are appreciated more with those that have a military or historical interest (i.e. - nerds), and are not for those with short attention span. "Civilization Revolutions" however was an excellent although simplified port of the Civ series for PS3. I am thinking that Slitherans turn-based "Commander: Europe at War" made at least the DS type mini-consoles as well. Various "Risk" games may be available as well. And I've also heard they are going to adapt the Total War series to a console, which I cannot wait for.
But, afraid to say, if you want a TRUE strategy game, a true simulation, you need to go to the PC. ANd for that I can recommend:
Any in the Total War series
Any in the Civilization series
I also like the old turn based John Tiller battleground series games
Battlefront's Strategic Command series (currently digging there WW1 simulation)
Europa Universalis 3 - very complex but rewarding.
To get a good feel of what the strategy game genre is about, check this forum here. I lurk all the time:
Wargamer Forums