With a well done Immortal or WC rush you can take out 1-2 civs right away. (before 500bc). Even if you intend on only keeping the capitals that leaves you with 4 citys (3 capitals + 1 built by you) and a massive area of land to be settled. Cyrus is great for this as Char. helps with the attack and Imp. helps with quickly filling in all that conquored land with citys. You should be able to create an empire 2-3 times as big as anyone else. From thier the game is pretty much won. As for horse archer UU's, they are a little more situational. Unless you can pop HBR from a hut thier more of a support unit. However they do make an axe/sword baced attack much easier. A HA UU should alow you an easy late classical conquest. Both of these types of units are great. standard chariots are good as well for barb control as they are fast and can beat archers + axemen. HA's are good for pillaging I guess. I usualy don't build them if no UU.