The premier suspects are units that have a good chance to be worse than the one they replace... even a too-late-to-be-relevant UU is better than one that we'd actually consider trading in for the vanilla version.
However, keep in mind that even strictly better units... aren't. Example: the Hwacha bonus might bite us in the rear if our catapults defend against melee, instead of a weaker but more cost-effective unit.
*
Dog Soldier (strength loss on the bread-and-butter unit of its time)
Vulture (lesser anti-melee bonus)
Jaguar Warrior (strength loss on the premier can opener of its time)
Praetorian (more expensive, lacks the city attack bonus)
Keshik (no first strike immunity)
Numidian Cavalry (strength loss)
Samurai (stricter resource requirements).
Cataphract (no first strike immunity)
Conquistador (a bug prevents it from ignoring walls)
Let's look at the potential to be a liability (I won't look too deeply into potential advantages, so this WILL be one-sided).
Dog Soldier: While they certainly have their uses, they can be a serious liability in rushes and classical-age wars. Axemen vs. Archer is usually the best attackers can hope for against mixed forces, better than Swordsman vs. Axeman. Native Americans need specifically Iron to get a good city attacker before catapults.
HIGH.
Vulture: The anti-melee capabilities of Vultures are strange and unintuitive. They tend to be weaker than axemen in the open and stronger if the defender gets many defensive bonuses (both ways). While there is a non-neglegible chance that a few combats will be fought at worse odds, on the whole they are equal to regular axes in the anti-melee role and superior at anything else.
MODERATE.
Jaguar Warrior: While they make good healers and harassment troops, Jaguars are notably inferior in the role that normal Swordsmen fulfil best - taking archer-defended cities. Needing 5 hammers less to be built isn't enough to make them more cost-efficient, so...
HIGH.
Praetorian: We really need to jump through hoops to find a single situation where their drawbacks are not offset several times over by their higher power. Over the course of a whole game?
INSIGNIFICANT.
Keshik: Most archery units have at least one first strike and can get more via Drill, so the Keshik is a disadvantage against them if we use combat/counter promotions rather than the flanking line. Usually this is more than offset by its increased effectiveness against melee and, more importantly, its excellent mobility.
However, against the likes of Cho-Ko-Nu hordes, this drawback can become crippling.
MEDIUM.
Numidian Cavalry: A free promotion is not worth the lost of 1/6 of our base strength; the bonus vs. melee may or may not be relevant. 'Keep an opponent off metals, horse archer them to death' is a viable approach, less so with Numidians. Therefore:
HIGH.
Samurai: Native first strikes and a free promotion don't help if we only have copper but no iron. While iron is usually not *that* rare, potentially losing a perfectly useful unit means the overall risk of being a liability is...
HIGH.
Cataphract: We can get the first strike immunity back by taking the flanking line; the higher base strength more than offsets forgone combat promotions, and lacking one counter promotion is less likely to trump higher strength and better retreat odds.
INSIGNIFICANT.
Conquistador: Having to deal with 100% defense that the parent unit ignores is no fun at all; it's likely to railroad us into using spies which might otherwise not be necessary. Even though having a unit that can attack, defend and flank equally well, and even though this is probably a bug...
HIGH.
*
Do these risks make a UU worse than merely being 'too little, too late' like some of the others? Depends. I don't tend to rely heavily on macemen but don't consider them weak either... as such, samurai are cool to have but if I have no Iron it's not a big problem either (PRO longbows + siege is good enough for me until I get those ultra-shiny gunpowder units).
There are many games where swords never supplant axes... as such I'm willing to take weaker swords for quick strike units/healers, but not to compromise the offensive potential of my axes without lasting benefits; least of all with a PRO leader and an archer-buffing UB.