I typically try to have a variety. I typically pick up nord footmen right off the bat, since they are the best infantry, and the most useful for sieges. Vaegir sharpshooters are the ranged I like to have. And Sarranid horsemen (mamlukes) are my favorite horsemen.
If I had to only pick one faction however, I'd say it would be the Vaegirs for the most well rounded. They have archers, pretty heavily armored footmen for the top units, and pretty heavily armed horsemen/knights as well.
An all nord army is great for sieges, but is slow on the map, and gets destroyed versus khergits or an almost all cavalry army. And conversely Khergits fly across the map and rape in open battles, but suck at sieges.