I find Crusades are worthwile early on in a conquest game and become decreasingly worth while as the game moves on.
Initially you get cheap access to some useful troop types - including mounted units which are generally in short supply in the early game. They also let you strike out at lands that are not adjacent to your own, which is useful for Catholic factions surrounded by other Catholic factions.
Later on the troop types become less useful as you become able to train superior units and your maritime network allows amphibious assaults.
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