My favourites were the Romes, simply because I'm interested in the Roman war machine. Got hooked by the Conn Iggulden "Emperor" series of books about Caesar and never looked back. (Currently re-reading the SJA Turney "Marius' Mules" series.)
Empire was really good, as was Napoleon. I think the short-range firearms + artillery worked well for that era, and one thing they did which was missing from later Total Wars is better use of cover (e.g. having your Green Jackets lying in long grass, hiding Fusiliers behind walls etc).
Shogun 2 series were beautiful and some of the siege battles were memorable. Sneaking ninjas up to the highest fort tier, to punish enemies who had only left a token force at the victory point...
But in terms of the best games, they have to be Warhammer 1 and 2. I was sceptical and didn't like the "fantasy" element at first, but it basically takes the handcuffs off the developers. I can't even remember how many campaigns I've played on WH2, and the different factions' play style make it almost like a different game altogether.
Dwarves with their heavy armour and helicopters(!), high elves with their archers and dragons, the Skaven rats with Ratling guns (brilliant)... the fact that intelligent tactics actually make a massive difference, especially on siege battles.
Really hoping Troy is good. If it disappoints, after the first campaign I'll probably go and play another WH2 campaign.
Or maybe re-play Three Kingdoms as Lu Bu again. For those who haven't tried it - he has a feature called Rally which is a game-changer. After winning a battle, it's usually the end of that army's turn. With Lu Bu, you can opt to restore all your movement points, slight replenishment, army fatigued, but you can go again. You can bounce from one battle to the next for as long as there are enemies within range. My record was about 15 battles in one turn, with an ever-depleting force. Worth it though