After the obligatory Warrior or Scout unit, which of these should you build first in you starting city, Settler, Worker or Granary?

Thats a no brainer, a settler to expand!

Settler with a qualification :

If the Settler would finish before size three, another military unit

Settler with same qualification as above, except Worker if Settler finishes before three.

Settler. Build a new city, then from there, begin working on the Pyramids. By the 2000's (BC) you should have them built...

It depends on what level you are playing, but

http://forums.civfanatics.com/showthread.php?s=&threadid=7764

this thread shows the results of testing which indicates that force building the granary is the best start. The author plays on deity level from what I understand.

Always start with Settlers to have 3-4 new cities, then Granary and then loads of workers (2 per city).

My choice:
1. defender.
2. settler (if size makes it possible).
3. granary.
4. temple.
5. worker.

In 'bad' places i would build a granary on 2. and a settler asap after that.
In border cities close to enemy-cities, i will build a temple on 2. and an extra defender on 3. Maybe even a citywall.