The Seleucids have a very good late-game roster, and they're a challenge to play early on, when Egypt, Armenia, Parthia and Pontus (plus the odd Greek Cities) are all gunning for you.
However I hate their temple selection-- there's no decent temple for ordinary, cash-cow cities-- the health temple can greatly exacerbate the mid-game population pressure in your core cities, brought on especially by the Hanging Gardens of Babylon (farming bonus) ; the happiness temple is a drinking one, so your governors will all be drunk. iirc the Seleucids don't have a law temple.
Another disadvantage imo is the lack of challenge once you wipe out Egypt and the other surrounding factions-- you have a secure power base, no significant enemies in the neighbourhood, and more money that you know what to do with. Depending on your skill, that can happen pretty soon.
Parthia is one of my favourite factions (next to the Greek City States) because of their awesome horse archers. The basic Eastern horse archer is cheap, low-tier and almost unfairly cost-effective-- I've dismantled whole Seleucid stacks with barely any casualties on my side using the Parthians and their horse archers.
A bit later in the game you get the Persian Cavalry, which is my personal favourite unit in the entire game. It's a superb horse archer unit, as well as a capable cavalry unit (short of heavy cavalry, this unit can take on most other cavalry in the melee and win). Not to mention it looks awesome. =D Late-game you get cataphracts, including camel cataphracts (the ultimate General-slayers, I swear) and elephants.
The drawback to the Parthians is their utter lack of decent infantry-- the one infantry unit the have access to is the lousy Eastern infantry, so expect to sit out quite a few sieges (which, incidentally, can lead to some hairy battles-- watch out for the battle for Antioch if you decide to play them).
Another gripe I have about the Parthians is that their building selections, especially their temple set, is awfully limited. In fact, it's not "temple set", you only get one temple, a very boring law temple. Though of course you can always mod it in.
And another thing to note: Parthia is heavily cavalry- and particularly horse-archer-reliant, if you like the idea of horse archers but would like a more varied roster, try Armenia. You'd have to mod the files a bit, but it's well worth the trouble. You get the always-reliable basic horse archer unit early-game. Two of the more awesome late-game units are the unique cataphract archers and the phalanx-capable Heavy Spearmen. Also, like the Seleucids, you get imitation legionaries in the late-game.
For an entirely different flavour altogether, try the Britons or the Germans. The campaigns are relatively easy early-game, but it heats up as the game progresses due to Rome. The Britons and especially the Germans get some pretty awesome units, including the German berserkers and night raiders, or Briton woad warriors and chariots. I also particularly like the Britons' start position in vanilla-- a secure island base, plus a mainland settlement. If you want to be slightly atypical, abandon Samarobriva and go for an empire in Spain instead. Personally I don't really like playing barbarians, but you know that saying about one man's meat.....
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