I'm currently in my first full version game, and having had so many problems with Vanheim and Helheim, I picked Helheim (which is EA only).
You don't have any real cheap units, but they also never cost too much Resources (which means Sloth works pretty well) and their Glamour makes up for the low Protection of EA. With the points I saved from Sloth, I bought a nice Bless effect (Water and Nature - I like Imprisoned pretenders), and now I have a nice array of super-fast, tough-to-hit Sacred Cavalry; cost is easily made up for by durability.
The only trick is to not forget to use CTRL-click when moving, as almost your full national army is stealthy; sometimes when coordinating attack, you have only half of the army actually doing the fighting while the other half watches from the shadow
OK, Magic-wise, Helheim isn't too varied; some Air, some Death, and a little Blood. I'm not too sure how that would work vs real, human opponents, but vs the AI it seems to work fine.