I'm currently on a Macedonian campaign and my Empire stretches from Greece, way out East to Seleucia (Though I don't own that city) and down to Egypt. I also hold Egypt and the entire area just East of Carthage territory, though not Arabia.
I'll post a picture.
Take out Thrace completely if you haven't done so and if they aren't already too big, as they can be a pain. The Romans might take some time to start heading East, if they choose to. In my campaign the Romans were stuck in Italy and Siciliy up until about 30-40 or so turns ago, at which point they blitzed Gaul. Parthia can turn into a horrible nightmare to fight but I know one way of defending against them in sieges. One thing you will notice is they only ever bring along about 1-4 units of crappy Eastern infantry. All you need to do to defend cities against entire stacks is get 5 or so groups of archers and use them to take out the siege equipment. Like the garrison I have in the above picture, though you could certainly get away with fewer infantry than that if you wanted. I have a very nice economy though so I didn't want to take chances.
You don't even need to take it all out. Battering rams get destroyed by towers, and one siege tower will always get destroyed if it's near the gate and you have walls that can fire artillery. Just take out any siege equipment that will let their cavalry get in, such as sapping points, with you archers on flame arrows. Then, the pitiful amount of infantry they bring in will get slaughtered by the few you have. This will be easy even with few infantry because they only ever bring those Eastern Spearmen guys.
Even so, when you get far East, you may need to fight Parthia in a pitched battle. I find that taking massive stacks of Thorikatai (Or however you spell that) and try to catch at least one unit of cavalry with your spearmen, doing so will get the AI to just charge everything at you, which is exactly what you want since you don't want to just get picked apart by their arrows.
You should jump right in and don't fear the Seleucids because they get crushed by Parthia. With Thrace gone the real threat will be if Scythia works their way down or the Romans coming East. Your best bet is to hope they both sort of meet in the middle if they decide to go in your direction and get tangled up in a war with one another.
EDIT: Actually, while I'm here, has anyone got any advice for the Romans? I'm having a hard time in their territory. Up until Parthia I took 6 Phalangites, 5 Greek hoplites, 4 Prodromoi, 4 Slingers and a general which served me well until Parthia, though I thought it would do good against the Romans, however I find myself getting crushed by their massive infantry swarms. My cavalry proved ineffective at hammer and anvil because they always seem to take massive amounts of Triarii. I was thinking of replacing Phalangites and Hoplites with Thorikatai. Would that be a good idea?
EDIT2: nvm. Got the hang of it now. Thanks to my extermination campaign against them (Exterminate, destroy buildings, set tax rate very high then leave) most of their cities are rebels now. Feel sorry for them. To keep fighting them now would be like beating up a small child.