Most of my collection is Peter Pig, which offers a good, comprehensive range for the early (1883-85) Sudan period - Gordon Relief Expedition, Suakin etc. There's a few gaps, like Egyptian or Bengal cavalry but Minifigs fit well alongside them. I've also got several units of Blue Moon Hadendowa - probably not so easy to mix the two in the same units but look fine on the table in different units.
And for Italians v. Mahdists, look at the range by Tin Soldier UK.