This is one of the main issues in attempting to build a game like the Total War series.
When you start getting into 10,000 unit formations that need to pivot or strafe, while moving around or through other unit groups and obstacles, A* starts being rather challenging.
Trying to get 100,000 horses to ford a river reasonably when there's only a relatively small zone of safety can be tough to program.
Also, mipmaps towards the hierarchical comment of aappleby and hwillis.