In the beginning, don't be afraid to make as many cities as you can (as efficiently as possible, ie no overlapping work zones) because if you aren't aggressive, neighbors will claim all the land too quickly.
Unless you're playing on an easier mode that lets you tech way ahead of the other civs, you can just sell each tech you get to all the other civs. But remember: sell it to all the other civs on the same turn. If you don't, then they will sell to each other and you lose out on profit. This strategy often works really well because you can keep your research funding really high and get the techs first, then make up the gold by selling it. In turn, the other civs will keep their research low to gain back the gold they spend on you.
Also, if you have a tech and a civ doesn't have any gold to buy it; give them gold and then sell it. You will get the gold back + the extra bonus of them liking you more for the gift.
Don't ever go to war on a whim or even plan for a long drawn out war. Unless you can't avoid it, you need to just build up a huge force in peacetime and then do one insane blitzkreig "lightning" war move. This is great when the civ is on land and is often your neighbor. Once you have sufficient forces, you get everybody ready on the border, and then charge in and take all their most populous and important cities in one or two turns. If you're lucky you can even split them in half and their productivity and capabilities will have been completely shot to hell.
At this point you garrison the captured cities with your injured troops and can either a) take out on the little cities without any real fear of them offering serious resistance or b) make peace and string them along for all they are worth. By this I mean once you have completely broken the civ's will, you can sue for peace and make them give you all the technologies and gold that they have. Then when you're ready, take over more cities and repeat the process. This will make other civs wary of you though.
Always make temples and libraries in your cities ASAP because they will accumulate insane culture points for them. This will aid you in either annexing neighbor cities or at the very least prevent them from annexing you + giving you culture points for high score.
If you're going to race for any wonders early in the game, the two best are probably the pyramids and the great library. The pyramids give you a free granary in every city on the continent which really helps growth in the early stages of the game. The great library gives you popular techs for free that other civs have that you don't (it eventually goes obsolete though).
As for terrain improvements, you can basically just make a bunch of workers and put them on the 'auto' funciton and they do a pretty good job of making roads, irrigating, and mining in an intelligent manner. When you get to the appropriate age, I stress that you get the tech to make railroads ASAP. They give you unlimited movement in your territory which is really an invaluable help for when you're trying to move around a large army or send reinforcements up to the edge of your civ.
Lastly, I tend to save the forbidden palace wonder until after I conquer the first major civ/swab of cities next door. What tends to happen is your civ is clustered in one area, and your new territory is all off to one side, and thus over half the cities are so far away from your capital that they are too corrupt to do anything useful. Use this opportunity to place the forbidden palace in the center of your "new" civ area and watch it become as efficient as your core cities. If you're on a smaller island/continent and this isn't much of an issue, you can save it for another land mass as well. I normally don't even bother keeping cities that are on another continent because of inefficiency problems.
Normally I try to win by other means that conquest if I have to resort to using a navy and transporting across the oceans because it's so annoying. But if I do go over, I normally just raze everything to the ground and station units around to make sure nobody builds anything new.
That's all I can think up for now. Good luck!
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