Civ4 is the only Civ game I play, as it fits my personal preferences almost uncannily well. I especially like:
- the complexity of the economy (which is also well-designed, e.g. using the city maintenance mechanic instead of the building maintenance mechanic was the perfect solution to Civ3's non-fun corruption issues and the equally non-fun superiority of the ICS strategy that had plagued Civ games since the series' inception)
- the complexity of diplomacy, the fact that all diplomacy modifiers are visible (this helps a lot in creating an atmosphere of an unfolding world history, since I can see and understand what the other leaders are "thinking"), and the fact that you can actually make lasting friends - i.e. doing other civs well can be useful since you can expect them to reciprocate.
- religion, which adds to the game's atmosphere, and creates diplomatic blocks that make playing more interesting; you need to take a side and there's no cheesy "be everyone's friend (until everyone backstabs you)" strategy any more, as in previous Civs
- the vast amount and versatility of mods
- the fact that war, while important and often necessary, is not the center of the game - I really feel like building a civilization, not like just playing a conquest game.
- the flexibility in organizing one's civilization witch civics, similar to SMAC policies, as opposed to the simple "government forms" in earlier Civ games.
With Civ5, I expected a game that fit my preferences less well (naturally, since Civ4's phenomenal fit couldn't realistically be expected to be repeated), but that still worked as a Civ game. Despite these relatively low expectations, I was disappointed. Civ5's economy and diplomacy have been simplified, AI players now act like (incompetent and erratic) humans in a board game (which destroys the epic atmosphere of being part of an unfolding world history), religion is gone, building maintenance and cheesy ICS strategies are back, empire organization is forced onto rails that you can never leave once chosen, the game is clearly centered around war (but the AI is abysmal in waging it), and a questionable design decision (1UPT) created lots of problems for no gain, at least not for me. On top of that, the game was only released on Steam (which I stay clear of), and it was released in an extremely unfinished state with glaring bugs (like the "always peace" bug preventing you from winning the game), and naturally there isn't much support for mods right now, although the two last points will improve over time.
In short, Civ5 has a basic design that's very different from the kind of games I enjoy, and then executed this (for me) inferior design in a very shoddy fashion. Hence, I keep playing Civ4. I may check out Civ5 if it's released as a Steam-free bargain game, but it's unlikely that it will ever surpass Civ4 in terms of enjoyability - for that, they'd have to radically redesign core systems of the game.