I'd recommend Parthia, difficult starting position right up against the edge of the map, and no good areas to expand to without taking on the Selucids or Egypt.
That said once your up and running the all Cavalry armies make mincemeat out of any Phalanx type unit and Roman infantry, so maybe if you want a challenge not such a good idea.
I've just started a Carthaginian campaign and found it more challenging, particularly as I make a point of not spamming r-s Cavalry (I try to make my armies fairly balanced ... to give the poor AI a chance). But Parthia is my favorite so far.
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