Shogun: Total War (I) was the first, but has probably been lost to history and not included anymore, not that there is any point with Shogun II.
Really though, just play whatever interests you time-period wise. Medieval and Rome are older and have an older UI, while Empire, Napoleon (which is really just a Empire variant) and Shogun II have a newer and in my opinon much nicer UI.
I think it is all a "to each their own" kind of thing. I didn't enjoy Medieval much, and find Crusader Kings II gives me a lot more of what I want from the same time period. My favorite is Empire (and Napoleon) which everyone else seems to hate, but I think that it is the time period, Napoleonics is very "love or hate" kind of thing I guess.
So I guess just pick one at random and play.