Each campaign really does have a different look and feel. Partly, it's the settings - there's a real contrast between the icy wilds of Lithuania and the arid desert of the Holy Land, and between the green fields of England and the humid jungles of South America. Mostly, however, it comes down to the factions involved, in the strengths they boast and the limitations that constrain them. For example, the English might have numerical superiority, but as their commander you find yourself constantly ‘fire fighting' in Wales and Ireland, leaving you at risk should either Scotland rebel or your own Barons get ideas. As a result, you need to keep both the Scottish faction and the Barons happy in the early portion of the game or spread yourself too thin. Alternatively, if you fancy doing the Braveheart thing and fighting for the Scots or the Welsh, then you need to maintain a steady momentum of attack or find yourself stomped by superior English forces. You won't spend so much time managing your cities and build queues, but you will face a considerable uphill struggle.
The Crusades, meanwhile, are complicated because they're such a free-for-all. In military terms, it's a great clash of cultures between the swift, hit-and-run tactics of the Turks and Egyptians and the heavy-duty infantry and cavalry of the knights. However, as either the Kingdom of Jerusalem or the Principality of Antioch, the economic side is a nightmare, and you're constantly under attack from Egyptian or Turkish forces. The only way to avoid a continual battle just to maintain a foothold is to keep building steadily, complete your missions like a good boy, and keep things sweet with the holy orders, who provide a reliable source of superior fighting units. Throw in guilds of assassins and the opportunistic Byzantine forces - who have a nice line in low-tech flame-throwers - and you really need to keep on your toes in this one.
America represents an even bigger clash of cultures. On the one hand, the Conquistadors should have the upper hand. They have muskets, armour and heavy artillery, and strong naval units to distribute them along the coast. However, they also have a weak starting position, and are reliant on favour from the Spanish motherland to keep building resources and units. The Mayans, by contrast, have no decent technology and never will have, but what they do have is sheer weight of numbers. Throw enough ferocious jaguar warriors, javelin-throwers and - best of all - hornet throwers at the Spaniards and they'll soon drop their muskets and run off back to their ships.