I've always found the TW series to be the most fun when you set up goals for yourself, as FH said, much akin to the GA of MTW. Back in STW you really didn't need to do that because your goal wasn't world domination, it was just domination of Japan, but since then the scope has been so broad it's easy to lose interest at times!

If i'm playing the Byzantines I find it very enjoyable to try to recreate a Roman empire, or when I'm a catholic nation I'll pick a spot in the East that I have to hold no matter what. My favorite area thus far to defend to the death is Antioch or Alexandria.

Back in MTW i used to play for the sole intention of beating back the Horde, playing the "defender of the world" role and keeping all the other factions safe. I really don't play long enough games in M2 to see the Horde arrive; when I do they normally just sit around waiting for reinforcements.