I have yet to complete a game of civ4, I've been trying to work out strategies. So I've been playing a few turns, loading from a save, trying something new, till I figure out what the right movers are.
I've learned a lot, including what works for one leader doesn't work for another. I found city sprawl doesn't work very well for most leaders, but for Rome (which I've been playing since the 4otm was announced) city sprawl does't hurt you. City placement is still key, building junk cities don't help, but distant cities (especially if they are on the coast) don't cripple you financially.
I've gotten the best results from doing like reconius said. Build a worker and clear-cut the capitol. Like I said I haven't played the game to absolute victory, I may be hurting myself later, but the early boost I think justifies it. To me the 30 hammers in the first few turns mean a lot more than the mid-late game advantage. My second city (probably), gets to keep their forest.
As far a technologies I'm going to speculate a little. Since we start on a river, I think I'll go agriculture, bronze working, iron working. Not getting wheel feels weird, but if you can build the second city on the same river (hopefully where the river meets the ocean), then roads don't seem crucial. The other games I started I went for Hinduism, but not starting with mysticism, I think foregoing religion early is probably best. Hopefully one of my next door neighbors will found Hinduism or buddism, and we can just take it over with Praetorians.
Right now, I'm planning on founding Rome on the hill I'm on (I plan on going to war early and think the def. bonus will be important), I'll start building a worker and then warriors till Rome hits 3, then a settler, clear cutting with the worker (once I get bronze working). I really wish that corn was on the river

.
I'll take a warrior along the river in each direction and hopefully find some goody huts, and a mystic civ. If I don't have iron near me, and if I don't have a religious founding neighbor, I think I'll have a very less than impressive game and end up founding a bunch of cities on the coast (wherever that is).
I'm not an expert, and have only been playing a little over a week on civ4 and really never got into civ 3, I played civ1 in high school and civ2 in college. So I probably made some errors in my post (feel free to correct me), but I feel I'm picking up the game pretty quick and am looking forward to the "4otm".
-hendu