There are many strategies that work.
For early conquest, it is good to rush to an early tech that gives you and advantage, and punishing the AI with it. For example, polytheism + barracks mean veteran elephants while the AI defends with only phalanx and such.
Another popular ploy is to race to steam engine, building the Lighthouse and maybe Magellan's on the way. You are then armed with veteran ironclads while the AI defends with pikemen.
Many players prefer to wait until the modern era and build swarms of howitzers and engineers.
At base, all options have the same approach, only on different time scales. You build a tech lead, and focus on building a large force of the strongest unit that tech edge gives you.