What speed do you play this game on? Ive been doing epic, but it feels like the game just takes forever for me to build anything. What do you think?

I'm kinda the opposite. I found that normal was too quick. Epic seems to be about right (for me)

Normal seemed to quick till I played the last week or so, then I went back to normal and found I like it much better.

I'm playing normal with research at 175%, it's slow in historical contect (don't have knights by 1400AD) but the gameplay is good.

Here's some comparison.
Huge map in Civ3 took me about 28 hours of gameplay to beat.
Huge map in Civ4 on 'normal' took me a little over 10 hours.

Tried to start several games on 'epic' but it seemed way too slow for me. Research and construction takes forever so you are left to uselessly wander around the map with few units you've got. Does it get better as you get more cities and tech under your belt?

I like normal speed.

Epic speed is slow for the first 50 turns or so, but then it picks up very nicely. Normal speed was too fast for me; by the time I could send axemen to an enemy territory, it was time to upgrade them to macemen.

From my perspective, epic feels just a bit slower than a normal Civ3 game. Normal feels like accelerated production. And I can only assume quick to be.. well.. quick.

Despite the fact that normal is quite a bit shorter (turn-wise) than a civ3 game, I feel as if it's taking a lot more time.

What you need to take into account with Epic is that everything is lenghtened - research, construction, tile improvements.

However, two things are at the same speed as Normal. These are unit speeds and (AFAIK) revolt time. Also, it costs the same amount of money to upgrade units, but you have more turns in the game, hence using a few turns to get cash for upgrading your army will not set your tech back as much as it would under normal.

Epic is basically a good speed to wage single-era wars in.

edit: so if you don't wage wars, it might seem to take a lot longer.