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Compared to the Swordsman it replaces, the Praetorian has 2 more strength points, but costs 5 more hammers to build, and it also loses its 10% bonus against cities.
Along with War Elephants, Praetorians are the most powerful unit of the Classical era, and can be obtained much earlier than them. They actually usually beat unpromoted Axemen, and using the Shock promotion, this gives them the upper hand against all non-unique Classical units.
The main issue with Praetorians is their dependence on Iron. Research Iron Working quickly to know the whereabouts of Iron. Building a city on a source of Iron and reinforcing it with various units will prevent pillagers from cutting off your Iron supply.
Co-ordinating an attack on the Romans with other nations will stretch their efforts thin. You can try to take out their Iron supplies using fast units - at this stage in the game, there aren't very thorough road networks and mounted units can generally pillage without too much retaliation.
Prevention is better than cure if you suspect the Romans are going to go a very aggressive route very early on in the game. If you can quickly build a Settler and an Archer and claim Iron sources near the Romans before they can, they'll be stuck with weaker units.
Promoted Axemen are the best bet against Praetorians in direct combat. By sending a few Shock-promoted Axemen, you can delay the Praetorians or force them into Shock promotions, meaning your Archer-defended cities will be a little safer.
The Roman Legions, created during the early wars of the Republic and tested during the three Punic Wars against Carthage, were the fighting force that conquered and held the Roman Empire together for five centuries. Each legion was composed of 6000 men, divided into 60 smaller groups known as centuries. Nearly unstoppable on the attack, the legion was relatively weak on defense. The legion's demise as a military unit was accelerated by the destruction of Emperor Valens' army by Gothic knights in the fourth century.
The term "Praetorian" came from the tent of the legatus of a legion in the field-the praetorium. It was a habit of many Roman generals to choose a private force of soldiers from the ranks to act as bodyguards of the tent or the person. These elite troops consisted of both infantry and cavalry. In time, this cohort came to be known as the cohors praetoria; various notable figures possessed one, including Julius Caesar, Mark Antony and Augustus Caesar (Octavianus). As Julius Caesar discovered with the Legio X Equestris, a powerful unit more dangerous than its fellow legions was desirable in the field. When Augustus became the first ruler of the Roman Empire in 27 BC, he decided such a formation was useful not only in war but in politics. Thus, from the ranks of the legions throughout the provinces, Augustus recruited the Praetorian Guard.