Which faction should I play first?

[Biggus Diccus]

Try the Casse, you can take it nice and slow.
Or if you want a factional opponent, try eaither the Adui or the Averni. Apart from being fun these are also highly educational in the oft abused field of celtic history.

I tried Casse on VH/M taking it slow and developing my economy. I disbanded my fleet and most of my army on turn 1 and planned to upgrade trade/farming/pop growth. But the rebels laid siege with half a stack of 2-3 chevron infantry around turn 10 so I just gave up.