I don't think I can answer this. I've only played Rome, Shogun 2, Attila, and Three Kingdoms, so no Medieval for me (yet). Rome is fun at first but once your empire grows, it gets pretty tedious. Shogun 2 is very nice but real divide is an extremely poor mechanic and it's ridiculous how everyone's spamming naval threats all the time. I especially hate the naval threat because you can either let armies land and then have to deal with them, or you have to chase them around at sea, which requires very annoying micromanagement. Attila seems very good, but I'm still not far enough in the campaign to be able to make a proper judgement. Three Kingdoms is very good in many ways, but there are some flaws too that make me think that Medieval 2 might be better (judging by what I've heard).
From the games I've played, I suspect Attila is the best but I can't be sure just yet, Three Kingdoms is probably my favourite from the ones I can judge, but I suspect Medieval 2 is the best but I haven't played it yet.