I like M:TW1 most. It's more interesting, flavoured and developed than Shogun, whilst retaining Shogun's direct, fun simplicity.
I think the later three games (and expansion) have added complexity, but unfortunately poorly-designed complexity. Consequently, they've never resolved strategic AI and gameplay problems, and much of the new systems they introduce just don't work well. Diplomacy and fleet combat are in my view the only two big improvements. The (land) battlefield AI has probably never been worse than Empire: it was never that clever, but at least up to M:TW2 it seemed to have a sense of purpose.
So, I'd go M:TW1, M:TW2, S:TW, R:TW, E:TW, from best to worse.
I'm not buying anything more TW until Creative Assembly start putting time into improving existing gameplay rather than introducing dysfunctional new gameplay.
My favourite nation was the Byzantine Empire. Not that they're particularly kick-ass (in fact quite the opposite), but it's more challenging than many, and you get to rebuild the glory of the Roman Empire in the medieval era.