From my standpoint, much of the real problem in this lack of choice comes down to the fact that the vast majority of games don't really apply the concepts of scarcity well. As Khaiy said "by the time you can get [the best weapon] cost is mostly irrelevant."
A lot of games don't scale the costs of maintaiing a vast empire as quickly as the profits reaped from having one, so anybody reaching a late-stage game is going to be rolling in resources. One of the primary worries in using "new" technology is the real world IS cost: economies of scale have not yet been developed for it's production and thus it is far more expensive than the "next step down" despite likely being only a marginal improvement. In a different case, for thing like infantry weapons and equipment, small costs balloon quickly due to the sheer volume needed.
In the real world scarcity can be fairly easily measured due to monetary value. You aren't dealing with discrete piles of resources, you're dealing with a certain cost-per-unit in order to obtain something. Because everything can be boiled down to money, you have a real tradeoff - you have lots of other things to use money for. Buying more expensive rifes for your troops, or better missiles for your battleships, means you have less money to use everywhere else. Games generally do a mediocre-to-poor job of representing this opportunity cost. Using my best resource on the military doesn't matter to the rest of the game, because only the military uses that resource.
Another little beef I have with a lot of strategy games is a lack of inequality in efficiency. To take the already used example of Galactic Civilizations (which I personally did not like a great deal), the armor of any particular technology basically cancels out the same level weapon of that tech. I have level two lasers and the other guy has level two shields, I can't do crap to hurt his ships - his shields practically nullify my weapons. This is all kinds of wrong. This means that I can't rely on lots of lower-gunned weapons to overwhelm the other guy with numbers. His defensive tech renders my offensive tech useless, which - historically - is an extremley rare occurence. In order to compete at all, I have to catch up or surpass the opponent in the tech game, thus removing all my other choices for dominance.