For most things the game speed doesn't matter because all prices are scaled higher. For instance, in marathon speed you get 3 times as many turns (compared to normal). However, it takes 3 times as long to sail to Europe and you need 3 times the amount of supplies (musketmen take 150 muskets vs. 50 muskets on normal).
What does change is your movement on the map per year. This results in your exploration being complete earlier and all the gold you get(and treasure) will be received earlier in the game. If you're using a scout rush this is a significant advantage earlier in the game.
