@Mr. Do: The Complete intro shows scenes of leigonnaries in formation, a couple of medieval infantrymen fighting and a civil war battle interspersed with cutscenes of the big Tower of Babel thing from the original Civ III cutscene.
@Oddible: You run through all three disks during the install. Disk 1 is the play disk for all versions. I usually don't pay much attention to the music, so I can't comment on that. Not having played conquests before I can't say what's new or not. I can say there are ~100 entries in the Civ Content menu. There are 12 in the 'Conquests!' menu, 1-9 and 3 tutorials. You can compare those to what you've got in Conquests.