Do you pick one faction to focus on? Or perhaps build multiple factions? Do you group them as units, or leave them as squads of a larger force? Do you build war machines and cavalry or focus on infantry and archers?
I'll go first!

I tend to build smaller (at least what I view as smaller) platoon sized units of castlemen. Probably 20-30 minifigs per platoon (3x squad of 10) with 2 platoons composing a company. The Company is the basic maneuver element of my army.
Yes, I spent time in the Marine Corps

I have a light cavalry element of 80 horse (split evenly between swordsman and archers), another heavy cavalry of 40 horse, and a elephant squad of 4 elephants. These are generically in the "Lion" army, which uses the various Lion themed factions over the ages to fill the squads. I tend to group the different chonological groups together into their own squads.
The Black Falcons make up a light, strike-oriented force. They have one reinforced platoon of infantry, bolstered by a squad (+) of light archers.
The Black Knights are a medium infantry unit focused toward anti-cavalry (pikes, lances, battleaxes) operations supported by cart-mounted crossbows.
The Forestmen are my Special-ops unit with only one platoon. These tend to operate independantly on the squad level or below. They travel light, but have superior training and ability.
Each platoon sized unit has a medium fortress (think Knight's castle or Black Falcon's Fortress size) and Companies have a Headquarters at a larger castle (King's Castle or Black Knight's Castle size).
Some units have been adjusted for Brikwars CL scaleability, though not all. The idea would be to field each platoon sized unit as a whole (complete with supporting fortress) into a terrain model and conduct combat.
I stopped collecting about 6 years ago and I'm just starting back into it so I'm out of the loop on a lot of the stuff that was made and sold in between, but I'm very excited as I look through Brickshelf and Bricklink and I see some of the absolutely cool stuff that has been put out. Mine is still a work in progress so I expect some refinement of the concepts.
Feel free to post what you do!