In my opinion, the first MTW is leagues ahead of anything else in the series.

SHOGUN
I found this to be nasty and clunky, with units moonwalking and jamming against each other regularly. From memory, archers were absurdly overpowered as well, taxing even heavily armoured units in a nasty way.

ROME
Rome was ridiculously easy as soon as I got myself some heavy cavalry. I just trounced everyone. Sieges were awkward and unwieldy, and I found that charging around the deserted streets of massive cities to be pointless and silly, especially to find that my goal is a little red flag in the middle of town. Strategic map movement was illogical and ambushes and other mechanics I found incomprehensible, as well as the sudden disappearance of entire enemy armies.

M2TW
This was in some ways the easiest of all the Total War games, for me. Just too easy to present a challenge and therefore enjoyment, and the battlefield was not immersive or given to strategic thinking in my experience. Very pretty, but not much fun at all for me. I didn't see any point in devising complex tactics or orchestrating a battle the way I can in the first one.

MTW has the advantage of some awesome mods as well. I haven't played vanilla MTW since 2006.