The Sheaim can also be rather fun to play as. Their planar gates will occasionally summon demonic units based on buildings you have in the city that it's built in. The Mobeous Witch (Planar Gate + Mage Guild) can be a quick way to get spellcasters with Channeling 2 before most people have adepts, and they also get a promotion which gives all their summoned units a combat bonus equal to half the Armageddon Counter (and remember, this is a faction that BENEFITS from having a high Armageddon Counter). Tar Demons (Planar Gate + Temple of the Veil) are also superb defensive units, even better than archers (7 defensive strength versus 5), with the only disadvantage being a lack of first strikes. Or why not the Succubus (Planar Gate + Public Bath) which can cast Charm, a very good way of stopping advancing armies so your other defensive units can dig in. And remember, the spawn rate for planar gates rises as the Armageddon Counter does...
And their Axeman replacement, the Pyre Zombie, is also very awesome. Upon death, it explodes, hurting all units in a 3x3 area. This includes your own units, but since Pyre Zombies are immune to fire, they don't take damage from this! Send enough pyre zombies and you will eventually have weakened the whole garrison, instead of a single strong defensive unit.
And if they're running Ashen Veil as they've should, using the Sacrifice the Weak civic, their populations will rise very high, which is perfect fuel for their Eater of Dreams, their Archmage replacement, which can eat a population point in a city to regain their spellcasting ability for that turn.
Since they're usually running Veil, they'll also usually be the ones who bring the Infernal into the game, which gives them a nice relation bonus. And having Demons as your allies is nothing but a good thing.