While I rarely finish any of my campaigns regardless of which mode I'm playing, I definitely prefer Glorious Achievements. As others here have already pointed out, it's a nice way to play the game without having to take over the whole bloody map. In addition, GA mode encourages roleplaying your faction more than Domination mode, since you're granted points for various things (homelands, Crusading certain provinces, etc.).

At the same time, though, GA doesn't restrict how you play--which I admit was contrary to what I initially believed. (For my first couple years of playing MTW, I was very opposed to even trying GA mode! ) You can still conquer the map if you want, just like in Domination mode. Glorious Achievements simply gives the player a fun alternative to that, while still allowing you to play your faction however you choose.