The Saka will probably be a pain in the ass, but there's nothing you can really do about them early on. Just hold them back at Khiva if possible, but be prepared to lose that city. If it is lost, don't let them keep it though.
Baktria will stab you in the back sooner or later, and taking them out will remove that nuisance and will put you in a better position to eventually destroy the Saka or go into India. (the indian elephants don't like arrows)
If the Seleucids attack, and they will, you'll want to take them down as soon as possible unless fighting full stacks every two turns is your idea of fun. Overrunning the old Perisan provinces is often a good idea, though it is sometimes frowned upon around these parts because it is a 'blitzkrieg'-type strategy.
Whatever you do, I advise that you not piss off the Sauromatae until you've got a decent sized empire.
Hayasdan and Pontos won't be a real problem, though they have some obnoxious armored horsemen.

As for armies, I think standard horse archers, a few nobles and bodyguards, and javelin cavalry would probably be the sort of army composition that would have been used historically, but I'm hardly an expert on the subject.

Oh, and you're probably going to be dirt poor for most of the game.