I'm having fun playing, I never reduce the game to mathematics (things like meticulously calculating whether a spy, specialist or cottage economy is more profitable is totally uninteresting to me).
I play on emperor, always with random (but not unrestricted) civs/leaders, and I'd say I lose more often than I win (maybe 2/3 of all games). I don't actually play with victory in mind, it's more like I just watch the game unfold, try to stay flexible to meet complications, create or look for opportunities, and grab those that arise. Sometimes circumstances lead me to war, sometimes not. I never really decide on a victory condition to pursue, and usually don't even form a coherent strategy until the middle ages, or even later, when the huge power blocks are beginning to crystallize.
Winning a game of civ 4 is actually pretty boring. Many of my losing games have been far more memorable. I find experimental, dynamic games a lot more fulfilling than playing out the same obsessive strategies (Pyramids-Representation-mania, axe rushing, "Oracle gambit", and so on) game after game.