What do you mean? Cause building your own land you've got Terraria and minecraft, for government you have sim city and caesar games. And lots of other meanings and choices but it depends what you mean.
Try Kingdoms Nobility. http://www.bgames.com/puzzle-games/kingdoms-nobility/ This flash game lets you build a medieval city. It also has a deep management options that is quite impressive for a flash game. The best part is you don't have to purchase or download the game.
But if you're really looking for continent-type games. Try civilization or settlers.