I found the Sauromatae take a very long time to get going with, but once you do, you are unstoppable - none of the neighbouring powers to the west are prepared for horse archer hordes. Saba have a hard time of things to begin with, but as others have already said their isolation works to your advantage in the long run. Pontos are not too bad as long as you kick the Seleucids and Ptolemies out of Anatolia immediately. Hayasdan - very interesting terrain lets you build a fortress kingdom.
For me the Saka were the hardest faction, the distances you have to travel mean its hard to take settlements and get out of debt. Still though, after the initial challenge, same rule as Sauromatae applies.