They've all got different benefits. Scythia is pure cavalry, and they have good cavalry too! So it'll be a total immersion for you if you choose them. Scythia has a good intro level horse archer, and a heavy armored horse archer as well, with long range missiles! Scythian Nobles are a great unit. They only take one turn to make, unlike cataphracts and Scythia's Scythian Noble Lancers, but have high hand to and and missile attack. As well as high defense. Unmatched in defense by any and all horse archers except Armenia's Cataphract. (It is worth noting Scythian Nobles look awesome too..... XD )

Next are the Eastern factions, Parthia and Armenia. Parthia and Armenia get the standard horse archer unit, (Not as good as Scythia's intro level one btw.) but they also get Persian Cavalry and Cataphract Archers. Persian Cav belonging to Parthia, and Cataphract Archers belonging to Armenia. They both have long range, good defense, and good attack. They're flexible too, well able to engage in hand to hand. The Persian Cavalry has good stamina though, and I prefer it for that reason. However, the Cataphract horse archer is the most heavily defensive ranged cavalry unit in the game. Nearly as good as a regular cataphract in every way. (It takes 2 turns to make though....) Oh, Parthia get elephants. :D Not a bad thing to have in your armies at all!

Carthage has great cavalry. As do Macedon and the Selucids. (As well as Pontis btw for it's Pontic Heavy cav armed with javelins and it's Cappadocian Cavalry.) But this nations rely a lot more on mixed units tactics than the others I mentioned. Which can be a lot of fun. Macedon is a great faction for it's Light Lancers, Macedonian Cavalry, and Companion Cavalry. But you'll need to bring your pikes and other troops too. Like Parthia, the Selucids and Carthaginians also get elephants. But unlike them... they get a wider selection of elephants. They can build the intro level one's pretty soon into the game, and have access to the mighty armored elephants.