It varies widely from time to time.
Right now, my favorite is the French, because their GA goals in Early are pretty damn tough. Anybody can crusdade, but try crusading across the map and building a citadel in approximately 100 years. The navy to get to Tripoli alone takes decades. You also have to work very hard at diplomacy.... tick off the Byz, the Italians or the Sicilians and forget about it.
For a total domination game, I'd have to go with the Hungarians. They have the widest troop selection and I only crusade for GA points. I'd rather build my own army (and I don't think order knights are that much better).
For the longest time, the Italians were my favorite, as per my name, but they're just not that challenging. It's too easy to get mega-rich and just spend your way past everyone.
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