I have done a couple of migration campaigns...

* KH to Ibera - pretty fun actually, lost it to crashes however. Thinking of starting a new one...
* Baktria to India - as Teucer mentions it, pretty fun until a zealot AS comes knocking on my door and besieges every city. Although they are always repelled, they never stop coming and the campaign stops being funny.
* AS to Anatolia - not a pure "migration" campaign, but rather a simulation of a total collapse of the eastern provinces. Playing this campaign right now, could be really interesting as both the Parthians and Ptolies has grown into a huge empire and are now facing off outside Babylonia.

* KH to Cyrene - Just migrated south across the sea and established myself in Cyrene. Should become a living hell with both the carthies and ptolies from both sides. I also has Rhodos, Crete and Cyprus under my control to secure a safe haven and extra income.