The only one I don't like is Empire. It feels really unresponsive, and the game is just too bloated.
Otherwise, I think your mileage will vary based on which era of history you're interested in.
For example, my favorite is Shogun 2 because I love Japanese history and it manages to portray every major era of Japanese civil war stylishly and in a fun manner.
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"One of these days, I'm gonna find a loophole my friend." - Man in Black