I enjoy playing the Romans most because of the look and feel of the faction - methodical, well equipped and relentless. In vanilla RTW, the Senate missions, long speeches and civil war keep the game interesting for the Romans. Phalanx and horse archer armies just seem boring to play (although no doubt lethal) against the AI while smelly barbarians don't appeal. (Barbarian factions in EB and increasingly, RTR are getting more interesting though.)

In terms of fun gameplay, in vanilla RTW I found the Carthaginians, late Seleucids and Pontus interesting. Tactically, they are not all about the phalanx in the way that Greece and, to a degree, Macedon are. They have interesting support units - especially cavalry. They also have more open strategic positions - being more on the peripherary, they have more options and things are unlikely to be decided so suddenly.