I've only played the MTW series, and now I'm playing STW2. Must say, though STW2 is great, MTW somehow is much more grand. Covers more and varied territory without becoming overwhelming like I imagine ETW is. Covers a decent amount of time too, from 1070s to 1453. Lots more to get done. Plus religion is a three way free-for-all. What's not to like? And the units are more varied to.

Still, STW2 is a blast if you're looking for something non-western. But I wouldn't mind MTW3.