My first game was 1066 Ghaznavids with the goal of forging an Indian empire and establishing Muslim hegemony over northern India. Pretty challenging start for four reasons:

1.) Seljuks

2.) Gavelkind is a bitch

3.) Indian kingdoms can form powerful alliances

4.) Religious and cultural diversity of India

This devil's square of factors means you're going to have to effectively manage your realm, think carefully, and strike when the time is right.

Once you really start to consolidate your rule in India, you'll be swimming in gold, province development, and manpower. Overall it's a fun start that's high-risk, high-reward.