(I apologize for the long post, but, I wanted to share my knowledge, and I can be wordy sometimes...)
I highly suggest starting with a custom faction and a custom ruler with these traits:
Faction: take the bonuses that give you the following lvl 1 techs CIVICS, EXPLORATION, TRADING, TRAINING (or the equivalent for empire) and take the HP troop bonus.
Leader: Green Thumb for 2 food, Brilliant for 1 Tech, Adventurer and Tracker for 2 extra movement, hardy for extra HP.
the 2 food lets you build a hut right from start to take advantage of early city growth (otherwise the only building you can make is the beacon and extra prestige does not really help when you can only have 10 people in the city to start). the 1 tech lets you start researching right from the first turn. otherwise, you have to waste all those turns building the beacon, some huts and the farm, and wait for the study to be build before you can start research.
so starting with 4 techs as a custom faction and 1 tech per turn on your leader you will have 5-6 techs before you even build your first study.
as a build order I use the following: Hut, Workshop, Hut, Workshop, Beacon, Farm.
your first city will have a base prestige of 1 plus any CHA bonus you leader has and a max of 10 people. this means you have 10 or less turns before your city is full and you lose the prestige (because you can't gain more people). the first hut gives you 25 more people and takes 5 turns. you will need materials eventually to do everything, so workshop is next. because your city has a prestige of 1 and the hut takes 5 turns you will have 5 people ready to work in the workshop when the hut is done (unless you build a peasant for defense). we build a second hut because 2 huts is minimum to get to city level 3 (when all the interesting stuff starts to happen) and we sill have 1 food left over from the leader bonus. we build another workshop because we have 5 more people ready, then the beacon and then farm. by the time the farm is done you can customize your build order depending on your situation and techs. This build order should give you a decent head start over your opponents.
as far as troops. I start with Caravans (because I start with the trading tech). Caravans have 2 movement, are not hindered by national boarders, can make roads with new cities and REQUIRE NO MATERIALS OR PEOPLE TO BUILD and only take 3 turns to make. start making caravans from turn 1. use them to explore. what if it gets ganked? so what? what did you lose? nothing! but, you should have gained some insight about where to build your next settlement. you will be surprised just how far a lone caravan can get in a new game (before people start research adventure techs). I like to build at least 1 peasant for defense in my capital when I have the people and materials. I build pioneers when I can but, they are expensive when it comes to materials.
for new settlements, I always build at least 2 huts minimum (food permitting) because 2 is minimum for level 3 city.
I also specialize my cities. my capital is always a materials and gold specialist. I never build a study in my capital. I choose the gildar bonus for city level ups on my capital. after people, gold and materials are the basis of your economy. with the Great Mill, my capital is the only city I ever need to build workshops in. all other cities either specialize in food or tech or arcane (depending on the types of resources I find). Sometimes I skip arcane entirely if I don't want to mess with magic at all.
as far as research goes I always follow the same early path before I diverge depending on the situation (this is based on Kingdom, I have not played Empire yet):
Early Research Begins:
EQUIPMENT - for spears and padded armor, now your leader can go out without fear of death in every battle and you have good defenders, for a while, in your city
HARVESTING-Granary, Gold Mines, Metal Mines and as a prerequisite later
UNIT QUARTERS-Barracks, reduce troop training times, very handy
PRODUCTION-Great Mill, needs harvesting, doubles material production in the city it is built, I love this thing.
CITY DEFENSE-Hedge Wall, nice defense bonus and looks cool (auto upgrades to a fort later) and requires no people.
CONSTRUCTION-Construction Yard (this is optional if you are on a large map, for small maps I would skip this). it basically reduces the build time of most buildings by 1-2 turns. over a long map this adds up a lot and can keep you ahead of the AI all game.
Tech Rush Begins: This is where I rush to get libraries and schools which will boost your tech production by quite a bit and pretty much seal your place on top of the other factions when it comes to research.
ADMINISTRATION -Town Hall (reduces maintenance)
ECONOMICS-Houses (all those level 3 cities you have will auto upgrade to houses, very nice, instant pop cap increase)
EDUCATION-Schools (+25% production on tech research)
HOUSING-Villas (level 4 cities auto upgrade houses to villas, useful on large maps, but required for...)
LITERACY-Library (all level 3 cities auto upgrade every study to a library. in a single turn you will double your tech research)
When you get to 100 tech research stop building libraries and studies. 100 tech per turn should be more than enough to get you through any kind of game of any length or size and stay ahead of all other factions. you will be getting new techs about every 5-10 turns at this point, have fun. if you are going for conquest you will get more tech points from conquered studys and libraries in new cities. magic, adventure and diplomacy are actually quite small tech trees compared to war so you won't need as much tech. you already have most of the civ tree already.
at this point you can do whatever you want depending on the winning condition you are going for. I suggest you specialize. you may want some more points in weapons and armor for better troops and you may need some more prestige for your expanding empire (hospitality). if you find that you are running low on resources then research the adventure line that opens them up The LOST BOUNTY, LOST MAPS, RARE RESOURCES. be warned that these will have more benefit when you have more area under your control, use them wisely! if you really need food then research Guilds, Farming Guilds and Superior Farming for gardens and irrigation, otherwise this is optional if the resource gods are smiling on you.