When I played warlords in complete the day after I played it in vanilla - It was much harder. But now i'm adapting and I'm going to move up next game. So yes it will be harder.
(edit) Just adding to what psweetman said, Some changes are...
(1) Transport capacity from 8 to 6.
(2) Helicopters can now carry 3 (Non-Mechanized) units instead of 1.
(3) Commercial Docks are available. Commercial docks add +1 commerce to all the coastal squares allready producing at least one. Only coastal cities can build these.
(4) Anti-Air Defense added in naval ships.
(5) Flak and Mobile Sam have been added for the purpose of destroying enemy Aircraft.
(6) Volcanoes and Marshes Added.
(7) Two governments have been added. Feudalism and Fasism.
(8) Carrier's have 1 Anti-Air defense, AEGIS cruiser's have 3. Battleships have 2, Cruiser's have 1 and Destroyers have 1.
(9) Shakespeare's theatre can now make cities grow over pop 12. It only reduces the unhappiness in the single city now - not the whole empire.
(10) Subs have stack attack. With stack attack you can choose to attack any ship in a stack.
(11) I
think marines are tougher.
(12) The great wonders, Knight's Templar, Statue of Zeus, The Internet, The Temple of Artemis and the Mausoleum of Mausollos are now available to be built.
(13) Radar tower, Airfield and this tower that can see 2 squares away have know been added to the worker improvements.
(14) Ironclads have their own optional tech.
(15) Secret police HQ has been added. Only communist government can have a secret police HQ.
(16) Plague has been added.
(17) Guerilla and TOW Infantry have been added.
(18) Archer's, Longbowmen, Javelin Throwers, Tow infantry and a couple of other units now have defensive bombardment. This also applies for the naval units that are past the industrial age.
(19) And there are now 31 civs. Or was it 32

.
(20) Wonders become tourist attractions. If wonders last long enough you can make some money out of them. The following wonders can become tourist attractions... The Pyramids, The Oracle, The Hanging Gardens, The Great Wall, The Statue of Zeus, The Temple of Artimis, The mausoleum of mausollos, The Great Library, The colossus, The Great Lighthouse, Sistene Chapel, Leonardo's Workshop, Coppernicu's Observatory, Shakespear's Theatre, Newton's University, JS Bach's Cathedral, Hoover Dam, The United Nations. A wonder will get the following amount of gold if it stands for this long... 1000-1500 2 Gold Per Turn. 1501-1750 4 Gold Per Turn. 1751-1875 6 Gold Per Turn. 1876-2000 8 Gold Per Turn. 2251-2500 12 Gold Per Turn. 2501+ 14 Gold Per Turn.
(21) Sam Missile Baterries now work.
(22) Cruise Missiles know have a range of 4. And I think the bombardment power has been increased.
(23) Agricultural and Seafering added. Agricultural city improvements such as aqueducts and solar plants are cheaper to build. Furthermore Agricultural civs get +1 food from desert and city center square tiles. Seafering civs can build improvements such as commercial dock and dock cheaper. They also produce +1 commerce to the coastal center city squares. Also ships have +1 movement points and are less likely to sink.
(24) Corruption Is different. The Ring city placement no longer works in complete.
(25) Some new modern age songs added.
(26) Graphics are slightly different. For example - Horses have tails and saltpeter and coal are different.
(27) Tropical Fruits, Tobbaco, Sugar and Oasis added. Note: these are only bonus resources.
(28) The new artillery unit trebuchet added.
(29) The new naval unit cruiser added. Also the curragh was added.
(30) The specialists Civil engineer and police men added. Civil engineers can only be used when a civ researches replaceable Parts. And police men come with Nationalism.
(31) Privateer's have defensive bombardment.
Privateer's, Man 'o war's and Javeleneers (spelling

) have a one in three chance of enslaving the victom they kill. For example - if a Man 'o war enslaves a unit it makes a regular Man 'o War. If the privateer enslaves it makes a regular privateer. If the Javelineer enslaves it make a regular javeleneer.
(32) Marshes can turn into coast when global warming sinks in. Marshes cannot be settled on.
(33) Volcano's have a chance to errupt every 1000 years. Killing any city or unit that is next to them. Although a volcano errupted right next to one of America's cities and it didn't get destroyed.
(34) Republic has been improved and supports a bit of unit costs.
(35) Maps can only be traded when you research navigation.
(36) Communications can only be traded when you research printing press.
(37) When you research economics, the ratio of the amount of gold you get from uncorrupt shields when you are making wealth is reduced from 1:8 to 1:4.
(38) Destroyers can 'see' subs.
(39) Change England to Seafaring and Commercial
(40) Change Iroquois to Agricultural and Commercial
(41) Change Aztecs to Agricultural and Militaristic
(42) The Austrians could be included on the Civilization Intelligence Agency page
(43) Change Spain to seafaring and religious--
(44) Change Vikings to Seafaring and Militaristic--
(45) Change Celts to Agricultural and Seafaring--
(46) Change Carthaginians to Seafaring and Industrious
(47) Swordsmen know have an upgrade path to Medievil Infantry to Guerillas to TOW Infantry.
(48) Horesman can know upgrade to chinese riders.
(49) Paratroopers know upgrade to modern paratroopers.
(50) Culture Flips can now be turned off.
(51) Armies have blitz, have an extra +1 movement point and heal faster in any territory.
(52) Stock exchange is now a new city improvement.
(53) Civil Defense is now a new city improvement.
(54) Wall street now requires 5 stock exchanges instead of 5 banks.
(55) King units added.
(56) Jaguar warrior now costs 15 shields instead of 10. Aztecs have the option to also just build plain warriors instead of Jaguar warriors.
(57) Bombers have also increased range.
(58) Jet fighters have lethal sea bombardment.
(59) Crusaders can build fortresses.
(60) Cossacks have blitz.
(61) Radar Artillery now has 2 movement points.
(62) Musketeers are now 2.5.1.
(63) When you win/lose a game it will tell you how much time you have been playing for.
(64) Worker speed has now been decreased by 0.5 for industrious civs.
(65) If you are playing a non scientific civ, There is a 3% chance of a scientific great leader appearing if you are the first civilization to research a technology. If you are, however, a scientific civ, there is a 5% chance of a scientific leader apperaing. The scientific leader will appear in the capital city.
(66) Cannons, Artillery, Radar Artillery, Frigate, Man o' War, Ironclad, Destroyer, Cruiser, Battleship, Bomber, AEGIS Cruiser, Fighter, Jet Fighter, F-15, Stealth Bomber and Stealth Fighter can cause craters.
These are just some of the changes I can think of on the top of my head. I'll keep adding stuff when I think about new things.