Stainless steel is awesome but play vanilla before jumping in. Third Age is good and so is Broken Crescent if your prefer a more Middle Eastern theme. There is also De Bello Mundi if you're impatient for Rome like me.
A full campaign? I'll be honest, I've probably put in a couple hundred hours of Medieval 2 and Rome over the past many years, but never finished a campaign. Just play vanilla until you're quite comfortable with all the mechanics, then get Stainless Steel or any of the things that DividingSolid recommended.