For the historical ones:
Shogun 2 and Rome 2 are the easiest to get into. Shogun 2 is the most simplistic in terms of the variety of mechanics, but it has a lot of depth, especially in battles. The AI is also probably the least braindead in any TW game. Rome 2 is easy to get into because the AI is braindead and the mechanics are pretty simple. Its good points are the large variety of playstyles due to the large variety of playable factions. If you like line battles you can't go wrong with either Napoleon or Fall of the Samurai, both are excellent.
If you wanna play the classic ones you can't go wrong with either Rome 1 or Medieval 2. Really the only thing I prefer in the newer games is the fact that units aren't as responsive to commands in the classic games and pathfinding in city battles can feel like pulling teeth.
And that's without going into the mods, every game has a bunch of great mods, but I feel that Medieval 2 in particular excels in that aspect.
If you want my personal recommendation - start with Medieval 2 or Shogun 2.