I havent really been too sucessfull on SP yet(takes ages), but having played MP, Urban Cohort are the best Roman infantry unit in the game i belive, stat wise. But very expensive, i agree.

At the moment in SP on highest difficulty(anything less is a waste of playing the game imo), I have also found the Egyptians to be very strong, and even their light cavalry kicking my heavy cavalry's ass is annoying.