Baktria is one of the most interesting and challenging campaigns in the game, although it can become lonely living out on the end of the world... Epiros and Macedonia both have interesting starting positions and great faction rosters... Pontos is challenging and well placed for action... KH has a great economy, really strong infantry and endless possibilities for viral (seaborne) expansion. Armenia and Saba are really challenging, and you have to love them to play them well. Saka has the best HA's and eventually some of the very best heavy infantry as well... Either Celtic faction starts out with great units and faces a desperate struggle against aggressive neighbors... Personally I like a challenge so I don't play the Romans, Iberians, Casse, Carthaginians, Ptolemies, or Seleucids - although if you allow your empire to collapse at the beginning of the game, all of those factions would be potentially difficult to play. Also, I did not comment on factions that I am indifferent too, although campaigns with the Getae, Sweboz, Sarmatians or Parthians might be just as challenging and intersting as anything else...

I guess that what faction you like comes down to a matter of taste, although my personal overall favorite is Bactria which plays like a frontier scenario as you are initially poor and fighting highly mobile HA armies that seem to melt away when you chase them with heavy infantry - eventually, if you survive fighting your superpower neighbor (AS) and the predations of the natives (Saka,Pahvlava) you might build yourself a decent little indo-greek kingdom with very distinctive units. The downside is that if you want to interact with the Mediterranean world at all, you have to get there - by conquering the entire Selucid Empire from the East, or by taking out Armenia and getting a Black sea port... Oh yeah, you also get some decent Horse Archers with Baktria!