I cheat like crazy. Hence my name: die-hards may not like us cheaters, but we outnumber them, and we make it so games are affordable. Don't like us? Fine, go ahead and pay five times as much for all your games. (I'm Pragmatic about cheating.)
Mainly, though, I like to set up what I call a Constantinople situation. A small, high-tech civilization against hordes of barbarians. I've played that way in Civ 2, I've played that way in MOO 2, and I fully intend to play that way in Civ 4. (I don't play Civ 3 that much, for some reason.)
I intend to set up a peninsula that has only two accesses (all others blocked by impassable mountains): a narrow bridge that is highly defensible for my army, and a port so I can build my navy. I'll have nine cities (maybe a bit more?) with a good selection of resources.
I may not be as isolationist as I usually am (I'm a builder and a perfectionist), but I still plan on building my Constantinople.