I enjoyed Shogun a lot. I enjoyed Medieval less. By the time it came to Rome I think I was bored with the genre and didn't complete it, in fact barely started it. Does Empire bring anything new to the table other than a different setting and perhaps a bit more polish?
It's pretty similar to Rome, has evolved a little but still a simplification of Civ IV in my mind - then again the game is structured a little different to Civ IV. They've implemented a basic tech tree for research and you can't build every building in a single town - basically buildings are spread across a region (reduces the mononity a little). There are several campaign options (short, long, prestige, world domination) unfortunatly you have to select the win criteria before starting the campaign so it doesn't actually provide any flexibility in how you win the game.
At the start of a campaign everything seems a little overwhelming to be honest, or at least both Kap and I felt that way - however the game soon pivots and once you have a strong economic base it's pretty easy to dominate (on normal difficulty). I found I had to micro a lot of fights at the start to get the most out of what I had, but once you get a foothold in India and the Americas it gets a lot easier.
Technology is key, especially in naval battles. It's near impossible to kill large ships with lots of smaller ones, even if technically you out gun them. Land unit wise tech does unlock new units but the backbone of any army remains the same (line infantry) - as you research more tech they effectively get better tactics making them more effective (nice touch I though, means you're not constantly destroying units for their upgraded versions).