R.B. said:
Thanks, Kutzov. Also, is there anyway to use it outside of zoom-out? I noticed during play sessions that it only appeared when I was zoomed out. Edit: #2:maybe, I'll be back in 5 after testing it with world-builder. Edit2: #2:Yep, it does. played as Mongolia, WB In two GG's, Joined 'em to city, built warrior, W starts with 4 experiance. Strangely, though, It started with C1
Considering that Mongolia is Aggressive, it'd be a bigger surprise if your warriors did NOT start with Combat 1.
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Castles:
I pretty much never build walls, because I never need them. Waste of resources, especially for such a small defensive improvement. And since Walls are a pre-req for castles, I don't build Castles either.
HOWEVER...
As I was looking through the Reference spreadsheet some nice group of fellows made, I noticed that in Warlords, the Spanish are allowed to build a Citadel as their unique building, which replaces the Castle. The Citadel gives you +1 Trade Route, AND +2 XP for Siege units build there. Checking out the difference between that and the Castle, I found that it too gives +1 Trade Route. (They both are also good for a point of Culture.)
HOLY CARP!

+1 Trade Route!
So I decided in my next game I'd build some Castles... I like Trade Routes, you know.
But

Castles (and Citadels) become obsolete pretty darn quick, and they're really expensive to build, and I've got so many better things to spend my horrendously limited number of hammers on than something that's going to be useless a couple years after it's built. When The Castle and Citadel are obsoleted, they lose their Trade Route and the Citadel also loses its XP bonus for Siege units. That +1 Culture is still available, and if you're hurting for Culture in a captured/border city, then that might be worth it for you.
So, I conclude that only as the Spanish will I build Castles (Citadels) because of the XP bonus, and even that might be iffy.
The Trade Route bonus will have the most effect if you build the Castle in a large city AND if you're not practicing Mercantilism; otherwise, you can skip it.
Now what about when you're playing against actual people, who like to attack all the time with no warning, rather than a bunch of docile AIs, which only attack you on the higher difficulties when you have no hope of keeping on par with them? I suspect building Walls would then become a good idea, and if you've got a Wall, you're 1/3 of the way to building a Castle, so it wouldn't be a terrible idea to go ahead and do that too.
But that's just a guess; I don't have anyone to play against on a reliable basis (truck driver, and not really that interested anyway) so I will probably never know first hand if the above is a good guess or not. YMMV.