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The key to any minis game is who you are playing it with.

Battletech (alpha strike) and Cyberpunk red combat zone are neat games that you can play with small inexpensive squads

You missed the best ones... Infinity, Malifaux, Bushido, SAGA., Guildball

If you like Warhammer 40k but don't like the game i would highly recommend kill team much smaller scale game with alternating activation. basically you use one unit of models vs another unit as a entire game.

You might want to look at One Page Rules (opr)
They have sci fi and fantasy rulesets and army and skirmish within those.
Mini agnostic and one of the best army builders (and it is free online)
The factions are VERY  compatible with 40k and AoS. They also have some of their own factions on top of those.
Imho this is what 40k should have been (I think some the game creators came from GW).

I saw MageKnight but then heard that HeroClix and went deep on that at launch. Played regularly for years. Still have a few in the basement. When they started adding cards. The team building got convoluted and they lost me. X-Wing was great too until the team building trumped the dice rolls and piloting.

Song of Ice and Fire is amazing. I have 5 armies for it, started last year.

Im just happy to hear heroclix mentioned and i wish Wizkids was better at advertising it

Love that you also put Bolt Action on that list, because some say that historical and fantasy wargamers don't mix. However I've been loving both sides and imo they aren different at all as I'm both at the same time. Star Wars Legion, SW X-Wing and Bolt Action are my favorites.

I'm surprised you didnt try Battletech. Its inexpensive to get into (35 dollars gets you 8 minis, the rules, and the option to play the simplified game), and incredibly varied in its gameplay.

Wow thats cool. I wish I can find a group or people over here in Los Angeles where I can play or hang out painting.

Infinity constant action and reaction really high level if agency and options would be fun ti hear you talk about.

Malifaux card system is great.

I am just getting into bushido and the abilities and hidden dice choosing is fun

My two favorite miniatures games are Relicblade (amazing models and artwork. Easy to learn but has a ton of depth) and Warcry (just plain fun, fast and very narrative). An honorable mention is Blood and Plunder which is historical pirates. Its awesome because you dont really have to be super accurate with colors and stuff because hey they are pirates! Also im glad you mentioned the walking dead. That game is extremely fun and very very underrated. The way the zombies react to sounds and how you can use that to your advantage is just awesome!

I’d recommend trying What a Cowboy.  It’s based on the What a Tanker system, but moved to the wild west.  A really fun game that can be adapted to many different settings (like Star Wars, Cthulu, Gangsters etc).

Pretty solid list. Here is some cool stuff you didn't mention. For creating cool moments, Carnevale, Punkapocalyptic and Rumbleslam (wrestling game). For crunchy competitive Guild Ball and Bushido.

My miniature game of choice was going to be Hobgoblin, but now it is Sovl: Fantasy Warfare.  

Sovl (pronounced Soul as the V is actually a Latin U) is actually both a tabletop game, and a couple of video games with the same rules.  The game is free on PC and IOS, with the first 5 armies unlocked.  I can play it anytime against the AI on my phone.  I bought all the DLC to get the other armies, and this past week the PC game got an update to add The Knights of Avalon (Bretonia analog faction).  The IOS has not yet got that update, sadly.  

Its just more fun to play as a video game because of how easy it is.

On the historical side, def. recommend SAGA (you have expansions for different time periods) and its really fun!

Malifaux is probably my favourite skirmish, followed by Kill team and Moonstone.

I highly recommend trying conquer the last argument of kings