I have only played Shogun, Rome and MTW2. From these 3 I much preferred rome. Medieval total war felt weird to me. My system choked on it and the gameplay never came together for me. The battles felt weird, and it always came down to 2 huge blobs of spearmen killing each other. Archers didn't do as much damage as in rome and the cavalry seemed less effective too. MW2 seemed to be more about attrition than strategy when it came to the battle mode. On top of this most factions had the same starting setup of units: Spearmen, archers, spearmen, light cav and some spearmen. Rome had a much more varied approach.
I think I would have loved MW2 if I hadn't played Rome first. Having done that however, MW2 felt like a downgrade when it came to the battle mode. I'f I remember correctly though, the campaign map gameplay felt better than in rome, with more choices and interesting units. I loved the religion gameplay, and the power of the papal state. My favourite game was when I played as the russian empire of the north. Slowly weakening my enemies with assassins, spies and raids on their smaller towns. I played the catholic states against each other with bribes to keep them from concentrating on me. All went well but then ofcourse the mongols came...
The kingdoms expansion was awesome though.
I would love to try out ETW, but I'm afraid that even installing it will give my pc a hernia.