Rome. There is just so much to do. Its got equal parts expansion, culture building, wars of conquest, and laying the foundations for great cities. I love trying to build and Empire on the scale of Trajan's with the technology of the classical age. I've almost gotten it down now, Greece first, then Gaul, Spain, Asia Minor, Vassalize Egypt (If they get the Library they are your R&D department), Carthage, Pannonia and finally Brittania. If I didn't get Christianity I might take Jerusalem but otherwise the Middle East is best left alone IMO, someday I'll figure out a way to get that.
Usually though I end up with Rome, Mediolanum, Pompeii, Aquincum, Athens, Dyrrachium, Constantinoplis, Ephesus, Tarraco, Gades, Lugdunum, Lutetia Parisorium, Burdigala and Isca whatever (Exeter), Hippo Regius, Leptis Magna or Iol Ceasarea (I sack Carthage, historical and usually its too large to bother with subjugating) Finally as the Euro's pop out I build Messana and Caralis to boost the stability. After that with Europe built I like to change civs and watch the whole thing crumble, my best was when it survived all the way up till the Turks took Constantinole. This is the stuff history nerds shivers.
Second fave, would be England for much the same reasons, deft political maneuvering to keep the continent at each others throats but balanced while building your world wide empire, ruling the seas and using your small but effective army to hop around trouble spots.
In fact I often like to play Rome for 3000 BC, build Europe then start as the Brits and contend with the Europe I made.