Ancient Egypt? Historical accuracy is cool, and helps add good flavor. There are so many great things to play with in Egypt's 3000+ BCE history that it's hard to say where I would want it to go. Really Old Kingdom, before the country was united and most of the monuments were built? New Kingdom, when most Egyptians knew little about the great monumnets that surrounded them, but copied the art as reliably as possible? The Hyksos invasions, when the Kingdom mostly fell to raiders (a period of great turmoil and a great adventure setting).
I think if you think New Kingdom, you would have all these great tombs to dig into, full of potent curses and powerful undead. Be careful with the loot, cause of the priests catch you it would be the Hamdi or some other very unpleasant deal for you and your mates.
That's what I would want.