I prefer just about any of the mods to the vanilla version of the game. A lot of great historical work has been done by the modders to create games which are more detailed and varied.

Blind King of Bohemia's BKB Super Mod has a lot of new factions, new buildings (stone masons etc.), new trade goods and new units, making it more challenging than the original game.

Viking Horde's XL mod has a new map with some new provinces, such as Scania on the south part of Sweden, and splitting Portugal into Algarve and Portucale, Cordoba into Cordoba and Murcia, Poland into greater and lesser, etc. Also many new units and a much different economic model, which decreases the reliance on sea trade which the AI doesn't handle well and increasing income from farm land which the AI can manage. The result is a much more challenging AI.

Wes Whitaker's MedMod (currently beta testing version 4) also has a new map with many changes, new factions and units. Perhaps the most intriguing part of MedMod is the huge change to the way factions build units. Factions have "homelands" which include their starting provinces plus other nearby provinces. That faction's troops can only be built in provinces that are in its homeland. So, for example, the English homelands are the British Isles and the west of France, plus Flanders. Thus with the proper buildings, the English can build their troops only in those provinces. If the English conquer far off Novogord, for instance, they can't build some buildings and begin creating longbowmen. This makes for a much more interesting strategic game. In addition, some special units are not so much faction specific as region specific. Steppe units like the steppe cavalry, can be built by more than one of the factions in that area, if they control the provinces which allow steppe units. The same for units like highland clansmen or gallowglaigh.

Cegorach's Pike and Musket mod takes place in the much later 15th-17th centuries and has many changes to the units as a result. It is also very absorbing and much mroe challenging than the original game.

The only other mod with which I'm somewhat familiar is the Italy mod by Fader_it. It takes place entirely in the area of Italy, with a completely new map for all of the various Italian factions. It's very different from the original game, being focused on a much smaller area.

There are many others in the works. Look in the Engineer's topic for the various mods. BKB is working on a newmod called Age of Warlords, there is a Middle Earth mod, a Fall of Rome mod, a Fury of the Northmen mod, Napoleonic era mod, a great mod about the Reconquista in the Iberian peninsula, and many more.