Like always it depends on the situation. I am just starting out on Monarch, and I decided to concentrate on expansion as much as possible. Well, I concentrated on it so much that when an Arab warrior decided to cut through, I couldn't really say no. Well, the bumb went right for one of my empty cities, declared war and took it.
So yes, concentrate on expanding but don't ignore your military. Also, things like temples, granaries and the like are good things to build while your city's population is recovering (if it can't sustain the rate of popping settlers/workers). I NEVER produce a military unit from a city that does not have barracks.
Someone in this thread stated their first build in a city was a settler. Mine is a worker unless the worker would be done before the city is due to grow. If that's the case, I'll build the cheapest improvement first, then a worker. I find it important to get that city productive faster, and spitting out a worker first will accomplish that.