It really is a great conquest for replayability. I've done English (start with an army - nice!), Swedes (Beserkers and Blacksmiths are broken), Abbassids (deceivingly difficult), and Burgundy, all on Emperor.
Burgundy was definitely the hardest and most fun. On Emperor the AI starts with so many units and neither France nor Germany are shy about lounging around your territory with big old stacks of them. Had a sweet pre-build that got the HRE, giving me the tech to bribe France into defending me against a German sneak attack.
As in most of the Conquests I've found, you pretty much need to stay at war at all times to provide enough cities to support your unit costs. You also need to take distant luxury cities to keep your more corrupt cities in WLTKD.
With Burgundy, that's hard to do, as your borders are so extensive and thus hard to defend. The game turned in a funny way, as I was just about going bankrupt, and missed out on Notre Dame by 3 turns. I switched to palace and grudgingly researched Improved Seigecraft, as the Krak was the only wonder wihin reach. Get craft in the nick of time, only to discover the bug where it can only be built in a size six or smaller city. Here's the rub - nobody else has Seigecraft yet, so the three rich civs pay ungodly amounts for it - financing an army that lays waste succesively to Bulgaria, Byzantium, and, very carefully, dodging a nest of assassins, Antioch, Damascus, and Jerusalem. (If you take them in this order, the assassins can't counter attack without leaving themselves open for a turn.)
The Abbassids ended the game with 29878 victory points to my 31050.
= )