First off, I've played Shogun 1, Rome, Medieval 2, and Empire, so can't speak about the others.
I'd rank them in order:
Rome (although very close between these top two)
Medieval 2 and Rome have a great mixture of graphics quality, campaign options, battle feel, and mod-ability. Plus, the eras are very interesting.
Empire *should* have been awesome, but it just didn't grab me. Possibly it was because most of the battles, to me, consisted of lining up my troops, letting the enemy approach, and watching. I'll try it again soon, and might find more of interest.
Shogun one was great, but I just feel that the later games have added much more.