In my experience, the Roman factions and Carthage are the most fun for campaigns, because you're involved quickly and you have a diverse selection of troops.
The Grecian factions, being in a very competitive position, would be more fun if phalanx combat wasn't so horribly slow in RTW. Macedon is more fun than Greece because they at least have decent cavalry. I've never tried the Seleucids, and I imagine their diversity makes them interesting, but fighting Egypt must be hell...
Speaking of Egypt, they're not really that fun because you can just roll over any faction... well, more so than other factions.
For a real challenge, try Parthia. It's an absolute nightmare at the beginning, but it's very satisfying to ultimately storm Rome with mobs of Eastern Infantry :D Armenia has a much better infantry core (and probably the best color scheme

), and Pontus has good infantry AND a decent position in Anatolia, although I can't say that I've tried them in campaigns.
If you decide to slog your way through a barbarian campaign, I'll recommend Germania. Chosen Archers and Gothic Cavalry are some of the most underestimated units in the game, and while getting to the point that you can use them is a chore, once you
do have them you'll find yourself with an army
par excellance.
Good luck with whatever one you decide!
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