That's definitely the way I've done things so far, and it's shown itself as an approach that works well.
My primary thoughts about this have been to make something that would include at least one Kingdom and one Intermediate Period; this could be the Middle Kingdom and the Second Period, or the Second Period and the New Kingdom etc. (you get the idea), because covering much more than that would possibly dilute the experience.
Geographically, I'm inclined towards only the Eastern Mediterranean, including Libya, Egypt, the Levant and Anatolia, and not much beyond. I would very much like to avoid Greece, maybe going only as far as Cyprus and Crete, as an Ancient Greek experience would be massively different from an Egyptian or Anatolian one, and I wouldn't like to leave a huge and interesting chunk of the world either 1) uninterestingly bland and undeveloped 2) unplayable.