I love it when games start out with a challange.  I am not as big of a fan of the 'exponentional growth factor' that many games have where as you put it 'The growth of the empire could be traced back to those first few decisions'.

Sammual

Player should start with a rough map of the world & a better one of its immediate vicinity.

The game universe has a past, so it's not uncommun to start with some minimal geography knowledge.

It could be nice to have maps as purchasable items that would give you more precise information about certain area : dongeons, ruins, mines,....

And why not a "cannibal" fog of war until you research good cartography : when you send a unit to an area you see that area. When the unit leave you stil lsee the ground but not units. It's the fog of war. But if the units hasn't the cartography skill then after 10 turns you forget what was there. You lose track of the ground.

How about dungeons becoming stronger over time instead? So you don't get beaten up right at the start because you got placed next to a crazy strong dungeon and got hit by a swarm of demon lords on turn 2, but the dungeons still pose a challenge late-game. So you'd have a "safe" area near your cities, but any area not cleared regularly out gets more and more dangerous over time as you let it grow wild.

It'd be reasonable for new dungeons to pop up over time/old ones to be repopulated (depending on how dungeons are integrated into the map). Perhaps a bit less near major concentrations of cities, (hard to set up a lair if there are soldiers swarming everywhere all the time, and it prevents you from having to play wack-a-mole every couple of turns) but there should still be the odd dragon turning up to ply its trade late-game.

You could even have a pretty good justification for new lairs starting out stonger than the original ones: "as more magic gets thrown around (fighting channelers and their minions) more terrible creatures are woken up/created by the fallout."

Of course there'd still be varying dungeon strengths right at the start. In MoM, for instance, magic nodes were always far more heavily guarded than ye olde ruin.

How do you feel about uber armoured Death Knights? (who ate the thieves)

You could always just give scout units the ability to immediately see a challenge rating for a specific group of troops/mobs but take time to see how many and of what type they are depending on skill level of the scout.

That way you wont go into a fight entirley blind.

I like the idea of a 'scout' ability or unit. simple but effective

Making the early part of the game challenging is, generally, a good thing. Heck, making any and every part of the game challenging is a good thing; both statements are so straightforward it shouldn't be possible to object to them.

What I would mention as a caution, however, is that early-game challenges should not take the form of the possibility of random and unforeseeable death. If I lose early, I need to feel like it was because I made a sub-optimal decision, not because the game engine just decided to be prissy that night. So, for example, an acceptable early game loss would occur if I failed to build any defensive units and after ten or twenty turns a roving bandit came by and sacked my only keep. An unacceptable early game loss would occur if I moved my first unit into an unexplored tile and a random number generator told me I disturbed an ancient burial ground (that I didn't know was there), spawned a half dozen very powerful units and then proceeded to have them obliterate my unit and city in two turns.

I agree that the early stages of a 4X game - exploration and expansion - should be about more than just those two things. Even though the player likely hasn't encountered the main opponent yet, the game world itself should present challenges, such as roving beasts or neutral/hostile towns. Those challenges, though, should be as carefully playtested and balanced as the enemy AI to ensure that the player can win if they're smart, not just lucky.

- Ash