As LuvMacheen pointed out building settlers early is very important, at least on the higher difficulty levels. It's all one big land grab, basically you want to expand as fast as you can until all land is taken by either you or the AI.
However the best way to build those settlers is not to build them the old fashioned way. You want to CHOP those settlers. So usually you will build a worker first, and then start chopping. I always do stuff in this order:
Build worker 1
Chop worker 2
Chop worker 3
Chop settler 1
Chop settler 2
Basically each worker you chop = 2 trees, and each settler you chop = 3 trees, so my standard expansion costs me 10 trees. I will throw in a few warriors into this as needed. Remember that you can chop trees quite far from your city and they still give a decent amount of production. If my capital is desperately low on trees I will skip the 2nd settler, so the total is 7 trees chopped.
Once I have done this I move 2 of the workers to a newly founded city (leaving 1 worker to improve my capital), where they first chop a new worker, and then chop 1-2 new settlers. Again 2 of the workers move away from the city, leaving 1 to improve tiles (usually makes cottages).
This method gives you very fast expansion.