I have no preference regarding the age of the game.
Later ages tend to have better arms and armour on soldiers, earlier ages have more prevelant fantasy elements; the giants are bigger, there are more barbarians running around with simple armour and big weapons, plus the wizards tend to be more powerful.
Ulm, for example, goes from indo-european tribal warriors in the Early Age to an almost industrialised production of heavy steel armour and weapons in the Middle Age.
There are exceptions to that trend, but all nations have the ability to use magic for various ends, regardless of the age.