Well, you want to switch to something besides despotism as soon as it becomes available, unless you're very close to finishing up a wonder. You have a choice between monarchy and republic here. I favor republic. Monarchy has nothing to it except for the reduced war weariness. Republic is better on money, research, and worker efficiency, and you can negate any war weariness by putting %10-20 into luxuries (and still get better research rates than on monarchy). I suppose it depends on your playing style, though. Eventuall you may want to switch to democracy (good for getting railroads up quickly) or communism. It's a bad idea to switch to democracy during wartime, or if you plan to go to war. Communism is good, especially if you have a large empire. It's also quite feasible to stick with republic until the end of the game.
