I tend to play 2 distinct ways.
1) is to have a focus and agenda for the whole game and play to maximise everything towards that goal - that will normally net me the type of victory I am after.
2) is to play just entirely for the fun of playing. This means I end up partially roleplaying my empire, responding to threats as they arise, pushing for culture at certain times, fighting wars at others and just generally playing a wider field game. This tends to mean that the only victory in sight towards the end of the game is the space race... which, with the additions to it in BtS, i find a very satisfying ending now.