I usually have no problem getting headquarters for assasins, priests and merchants.

Just make one of your cities dedicated to producing assasins, one for priests and one for merchants. Remember using a city by the sea for merchants. And keep producing until reaching the agent-cap for each. Eventually you'll get the HQ's.

Assasins bad in vanilla?? I like them. They may not be 100 percent good, but often a HQ-trained assasin with a few captains in the belt is enough to start taking out generals and alike.

And being able to produce bishops instead of priests makes own you the cardinal-thing in Rome.

And Merchants? Well, the time they take to move to valuable resources and their stopping every time they encounter other units or are being stepped on by other units isn't really worth it.

rgds