I chose Machaka as my favorite nation. They are very diverse, with access to decent magic and solid troops. They have the tools for a number of different strategic options. Of course, there are so many different ways to play Machaka that I still can't say that I've found one that works well for me, but I'm having fun
One idea that I've had was to go with very strong dominion, either Restless Worshippers or Ceremonial Faith, and really push dominion with the Ears of the Lord. I haven't had a chance to try it yet, but it could be fun.
If I ever get off my Machaka kick, I'll probably explore Vanheim Helheim or C'Tis Miasma. I tried one game with Helheim and was completely lost, so that would be a fun challenge. I'd also like to see how a strong dominion defensive strategy works with Miasma. Tien'Chi S&A looks very interesting, too, but they are further down on my list.
Honestly, each nation represents weeks upon weeks of playing time. I can't see how anyone could possibly have a good understanding of every different nation and theme.