For the moment I have only played Rome and Medieval 2. (including the extensions)
My personal favorite was Medieval 2 followed by Rome: Barbarian invasion.
The campaigns that I've won are Denmark, England, Portugal, Scotland and Spain (m2tw short).
Apachean Tribes, Chichimec Tribes and New Spain (m2tw: Americas short).
Ireland, Norway and Wales (m2tw: Britannia short).
Antioch, Egypt, Kingdom of Jerusalem and the Turks (m2tw: Crusades short).
Denmark, Lithuania, Norway and Novgorod (m2tw: Teutonic short).
Brutti, Greek and Scippio (rtw short)
The Franks, Huns and Saxons (rtw: Barbarian Invasion short).
I just don't see the point of world domination that's why I always play short Campaigns.