In terms of difficulty and addictiveness, I say Civ 4 wins.

While I can quite easily win a campeign in TW series (Not Shogun or MTW... I never played and it sounded hard..), I can barely win Noble on Civ 4.. Theres no way I'm going to try Deity..

And if you have crappy laptop like I do, I can barely play TW (I play EB/RTW) without crashing for hours while I can play about 4 hours on Civ 4 without a crash

And Civ 4 is easily moddable. That adds more fun.