Medieval II is my favorite; Rome is good too. Empire was okay... Shogun 2 is great, too, but Medieval 2 takes the cake. My only problems with it ends up being the near unmanageable expenses I will build late game on anything beyond normal difficulty (and possibly then), and that I had four cities of mine besieged by turn 7, at once, on Very Hard difficulty. Battles are fun, still a little buggy there... Oooh, I won a 300 on 2000 siege and lost 20 men.
Which I suppose isn't bad as throwing your General's Body guard in front of a breach or open gate in Rome, where he gets 900 kills himself. Then again, I took a castle with just a General's Bodyguard in M2 as well. They all have bits and pieces I like... I miss knocking soldiers off walls like you could in Rome, and routing soldiers just committing suicide by running off walls.
I use a lot of Ashigaru in Shogun 2, with samurai to soften up their lines when they're tangled with my ashigaru lines. Heavy use of archers and trying to be on the defensive in pitched battles is a good way to win as you can better use the terrain to your advantage.
Note: Hit insert while selecting a unit. You get a first person perspective of one of the soldiers... Slowmotion arrow travel if they're a bowman, it's fun to see it kill an enemy general.
