To help you guys figure out who you want to be, and where, I'll give you guys an overview of the different strengths and weaknesses of the four factions.
Shu (Green) has the double advantage of both bordering every faction, and having a natural barrier to the south and west. Their Capitol is very near their two southern cities, giving them a strong defensive front in the region, and their northern city serves as a valuable, but vulnerable, outpost against Wei and Rebel territory. Their position is more defensive than offensive in the first few turns, but gives a good platform for launching invasions to the North and East.
Wu (Red) has a very strong position. No invading army can reach the Wu Capitol without taking a city first, save by a very narrow southern passage from Shu. They have a good position for launching attacks to the North and West simultaneously, and have a strong defensive line to fall back to if things go badly. An overagressive policy is a good way to isolate potential allies, though, so sometimes a good defense is the best offense. The Rebel forces can serve as a useful first line of defence against Wei, so securing alliance and bolstering their defenses may be just as profitable as conquering them.
Wei (Blue) is very spread out, meaning that its forces are slow to mobilize, but their land takes a long time to conquer. Their starting position offers a good opportunity for invading Rebels or Shu, but a strong defensive could leave the Wei forces scattered and isolated. It should be noted that the Rebels can be used as a buffer zone against Wu, and it may be a worthwhile investment to bolster their defenses. However, there is plenty of room for maneuvers in the wide, open Central Plains. A Wei leader should focus on battle in the field, using their cities essentially as emergency rally points. Knowing when to fight and when to flee can be a useful skill for Wei players, since Routing gives them the chance to instantaneously move from a dangerous situation to a distant city.
Rebels (Yellow) have the toughest starting position, as they are spread far apart and wedged between two other major powers. Their capitol is very vulnerable to attack, so it may be wise to have strong forces in the field to bar access to the city. Their position is one of vital importance, being not only a buffer between Wei and Wu, but a potential crossroads between the Three Kingdoms, which means that friendly neighbors have much to gain by maintaining a Rebel alliance. On the other hand, they are an attractive target for conquest, and may be in the thick of the fighting early in the game.
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