My favourite campaign was in empires. The feeling of greatness I got, watching the Great British Empire, and all its colonies, slowly conquer the world. Starting with all of Western Europe, burning my path through North America, and destroying USA before it became a threat (they attacked first >.>), then moving into India, and seeing the Eastern half of it be crushed under the feet of the British Grenadiers and lines of foot, all loyal to me, as well as East India Company's soldier's support.
Feeling the power was truly an amazing experience. I still sometimes go back to playing Empires: Total War.
Now I play Empire's Polish campaign. Conquering central Europe is amazing, and seeing my hussars, heavy cavalry, crush any resistance just adds to experience.
I would also love to return to Medieval II or Rome, but my Medieval is lost somewhere (I could probably find it) and my Rome gold edition is broken :/