#1. Exploring the land around me early-game, the awesome feeling when your scout finds that PERFECT city spot, like 6+ Marsh as Netherlands on the cost, and then you settle it. Watching your empire take root and grow into its land, connecting the borders and sealing yourself behind the mountains in an impregnable empire. Very satisfying.
#2. Industrial-Era and forwards warmongering. In SP this is kind of the sad, lonely "I already won" phase of the game, but in MP it's so fun to silently build your huge navy and dispatch submarines in preparation for a secret amphibious invasion against an unwitting opponent.