My favorite are the Armenian/Parthian Kataphractoi-variant generals! They have bows, lances, and heavy armor, and are massive enough to literally plough through an entire infantry formation on the charge. They're very slow, and tire fairly quickly, but they're nice to have.
I've used my faction leader (with his 30-40 bodyguards) plenty of times on his lonesome, against enemy half-stacks and settlements. He always came out victorious, and usually with most of his guard. THe only truly hairy battle was one where he fought almost an entire full-stack of Seleucids, and he lost just over half his guard that battle... but he survived and routed the enemy!
Which factions are you playing, and what are the merits/weaknesses of those factions' generals?
我送你離開 千里之外 你無聲黑白
沈默年代 或許不該 太遙遠的相愛
我送你離開 天涯之外 你是否還在
琴聲何來 生死難猜 用一生 去等待
As Water on Rock