On the slower speeds there are more turns (Epic is roughly 1.5X as long as normal, marathon is 3X). Research is slowed by the same factor, as are build times. Unit production however is not slowed as much, and it takes them proportionally less of the game to move around the map. Hence you get more use of each unit before it goes out of date (particularly on Quick that seems to happen before you even get the unit to the frontline).
This also makes it somewhat easier, since the slow speed favours warfare, which is the AI's weakest point. Also, since there are far more turns, the game is somewhat more forgiving of little mistakes.