While I've only really played historical mode myself, by most accounts, the Trojans have an easier time of it overall, regardless of whether you're playing in historical or mythological mode. (They're typically better at working together than the Greeks are.) If you want more of a challenge, then the Greek factions are where you want to start.
Of the Trojan factions, Hector is probably the easiest to play as, though I don't think any of them are particularly difficult. The one exception is Paris; his campaign is widely regarded as a real PITA.
If you choose to play as the Greeks, Agamemnon or Menelaus are probably your best bet. The campaigns for Achilles and (especially) Odysseus are apparently pretty tough.