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This is why I always set some lofty goal for myself with each new campaign, something that goes beyond forming empires. For instance... unite Africa. Or create X religion and spread it in all of the world's formerly catholic regions. :)
To me it feels like endless busywork at that point though. I really like the beginning of my games when starting out small and the stakes are really high and everything still matters. Yeah I suppose I could paint all of Africa Norse but In general it feels like painting a wall because you are untouchable.
I think I will try challenge runs that are a bit more extreme. Playing as a vassal and only using the intrigue lifestyle to reach my goals maybe... or maybe breeding albino dwarfs. Anyway there are still a few map-painting achievements I'd like to get but I usually stop my games after triggering the achievement. Playing two games until 1453 really exhausted me, the last 200 years are a pain.
Just from the top of my head
Say you start with a domain limit of (let's say) 4, take 4 counties, and then you can hold a Duchy as a Duke.
Then you move up to a Kingdom, now you can hold 4 Duchies and can become a King, but you no longer control any counties directly. You set build priorities and focus for your Vassals, and you can give them money to accomplish that. Perhaps if you spend to build something directly, it increases opinion with the Vassal as they just received funding directly from their Liege.
Then, you move up to an Empire, you can hold 4 Kingdoms, but you no longer control your duchies directly. Still, you can set priorities for your Dukes.
At each level (Duke, King, Emperor) you can build one "Realm" building, just as the Duchy buildings now work.
At each level, your Authority causes less and less opinion loss. Absolute Crown authority is galling from a Duke, but from the Emperor? Not that big of a deal .. so long as you are successful.
Likewise, as you progress up the levels, you move up in your Cassus Belli limits. At county level you might only be able to take Holdings, but at Duke you take counties, at King you take Duchies, and at Emperor, well ... is there anything worthwhile other than another Kingdom?
Also, rather than fascinations limiting MenAtArms levels, it's a matter of the size of your realm, and the focus of your Vassals (read up on how Longbowmen became such a thing in Britain, or Samurai in Japan).
Also, Naval combat and some better logic behind embarking (peasants limited from embarking, forbidden if from a landlocked nation; use of harbors to actually embark, limited by the supply cap of the county; boating cultures like Vikings and West Africa can use landing points to leave unless captured by enemy, making overseas raiding a bit more precarious).
Academies provide an opportunity to select certain Commander traits (the direct combat ones, reckless, cautious, defensive, offensive, terrains common to your realm) when your Marshall is set to Train Commanders. Also, each time you call for Knights, one with a 20+ prowess applies and your knights are, overall, several years younger.
Siege Works provide the selection of Commander traits related to out of combat (engineer, logistics, forder, reaver).
Universities provide for better physicians and a better selection.
And more things that are cross realm vice limited to a Duchy sized improvement.
Another idea is a merchant expansion that kind of like mercenary system but revamp the trade system so as to build your self a trader empire.
more depth and features
nothing novelty or fantasy, or something I'd rather switch off