Breather Level: The Delaware mission in The Warchiefs. You don't even need to go straight away to the first mission, you might even be more interested in exploring the map and getting the treasures, because you're going to need them later. Not to mention that at some point of the exploration, you'll get a Courier Des Bois (a french settler) who can get the supplies scattered across the map for you. And later you'll find a Huron native settlement where you can build a trading post so you can get even more units, which will also come in handy for destroying the ships which hold even more units. You can even get some decent artillery units before doing the first mission. By the time you're finished with the side missions, an otherwise difficult mission becomes piece of cake, and you can get a big army with just a few resources.
Crazy Awesome: Some of the cheat units are this, like George Crushington, the giant titan-bust thing that spits torches at buildings and attacks by headbutting units, complete with comic book noises and graphics, or the Monster Truck you can use to flatten entire armies and colonies in seconds.
Moral Event Horizon: In Shadow, Chayton was tracking down Crazy Horse in an attempt to negotiate peace between the Sioux and the settlers. Holme trails him and attempts to assassinate Crazy Horse, completely wrecking any chance for peace between the settlers and the Sioux, so he could take the gold from the Sioux.
Scrappy Mechanic: Most players avoid naval-oriented maps altogether due to Arbitrary Headcount Limits on each ship type and the incredible strain watching a naval battle puts on most low-to-middle-end computers. A later patch fixes the performance issues with naval units, but the mortar/monitor/rocket shell explosions will still put a strain on low-end PCs.
That One Level: "Strange Alliances" in the first game's campaign. You start out with a small force and go out to destroy a few minor enemy settlements, only to find a massive British force has come in and taken over your original base while you were away. You're forced to establish a new one from scratch and defeat an enemy who's already well build-up and sending constant raids. They advance in age quickly and will build a fort right near you if you let them, as well as spamming huge amounts of Longbowmen. And by the way, this is only the second mission of "Ice", and the rest is considerably easier!
The first expansion has the mission "Turning Point" is incredibly hard because of only 1 reason; Sherrif Holmes attacking you with a real army, a lot of army that you could hardly recover from. Even if you repel an attack, he just brings in another even bigger army until your base gets wiped by his forces unless you prepare in advance.
They Wasted a Perfectly Good Plot: Using entirely fictional stories backdropped to historical events instead of entirely historical campaigns like the previous games. Especially glaring is the ample material in North American history from the time period used in the game. This does not apply to the second expansion although it does take a few liberties with things (i.e. the Chinese being the first to discover America and erasing proof of their presence.)