Medieval was my first, and tbh it's still probably the most thought-provoking and challenging game of the series. The change to tile-maps made everything LOOK an awful lot better, but actually ended up decreasing the AI capability. The MTW AI on hard settings was the best thinker of the series.
Rome's a better game, don't get me wrong (and more moddable, yay!). But I do have a good nostalgia for Medieval TW.