Under ideal circumstances -- ha! -- I generally prefer to own no more than around 10 provinces. Obviously, however, that can vary, especially depending on the situation and which faction I'm playing as.

And of course it's fun sometimes to just rampage across the map and conquer everyone. Some of the most enjoyable scenarios are where 1-2 other factions and myself have become superpowers, and there's a massive showdown in the endgame for control of the world.