I'm nearing the end of another Civ 4 game right now actually. I have Warlords and BTS. I'm about to load it up. It's a great modern war with me vs the world, nukes exploding everywhere.
Civ 4 has it's problems. It's great but feels "bloated". There's too many wonders. Mountains for some reason are unworkable (but I have a mod now that makes them like Civ 3). The worst though is the way siege units are used. I find it ridiculous that you have to sacrifice them in order to do collateral damage, and that aircraft cannot destroy units, especially naval units. I much preferred the Civ 3 way of handling siege units. If they had limited stack size and kept siege units like in Civ 3 the game would be so much better.
The best thing about Civ 4 is it's soundtrack, except for modern era which I've since modded.
I've heard enough bad things about Civ 5 that I think I'll be skipping it. The hex map is great, but I heard it's incredibly tedious to skip turn after turn, and I foresee big problems when trying to invade with a one-unit-per-hex limit.