The most enjoyable way to play a TW game, is IMHO as a political simulator, in a way. Not purely management, as Civilisation, but heavily centered around diplomacy, religion, family dynasties and such.
Going out and randomly conquering is much less gratifying than having roleplayed different reasons for fighting (just as real life, war starts for a specific reason, not just for the sake of it). My empires are almost always one of the smaller ones on the map, as I in a Machiavellian way try to unbalance factions that are too big for their boots, and rarely do I gather my full army and go on a slaughtering rampage.
For just the right challenge, I often only attack with an army about 1/3 the size of the enemy. That is in MTW, mind you. In RTW, you can send forth your factionleader's wife equipped with a butterknife and still, claim victory!

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