The most annoying thing about fighting Romans is the endless stacks of legionnaires you face if you play a faction that's not in a position to eliminate them early. I'm pretty sure Roman factions get a financial boost after the Marian reforms so you can leave one historical battle marker after another on the landscape, and look further up the road and see just as many stacks headed your way as you've just killed.

Other than that, my cataphracts looove eating the boys in blue/green/red for lunch. Doesn't take very long to get exp 9 units!