One of the keys to Civ3, seems to be to "make full use of the advantages that your particular civ has."
Religeous - This is simply nice, because you can build Temples and Cathedrals for much cheaper. You can also switch governments in 1 turn.
Commercial - You have better commerce in the square that is your city square, and less affected by corruption (don't get too excited tho, corruption is still VERY annoying).
You'll start with the Alphabet and Cerimonial Burial.
Your Unique Unit is the War Elephant, which is basically a Knight that doesn't need Iron or Horses.
Those things considered, it would be "most utilizing your advantages" to ...
Because of the reduced effects of corruption, you can more easily manage a more spread out empire. It will give you a -slight- advantage on large and island maps (more so the island maps). Like I said tho, don't get TOO excited about reduced corruption, you'll be very annoyed.
Your cheaper build of temples is always nice (since everyone builds them). Also, when you capture cities, you'll be able to more easily build that first temple (that starts adding your own culture, and quells discontent).
The 1-turn anarchy when switching governments isn't bad. Without it, you really need to be NOT in a war, and not have any rioting cities before changing governments (because doing so is 5 turns of anarchy, and anarchy in war will kill your (probably necessary) production, and cities in chaos are more likely to flip). You don't want to switch governments alot anyways (I usually go Despotism, Republic, Democracy).
Starting with the Alphabet, means your one tech closer to having "The Republic". If you swithc to the Republic (in 1 turn), coupled with your Commercial attribute, it will help keep down corruption.
Unfortunately, your Unique Unit is less valuable than others. As pointed out, it has the same stats as the Knight, it just doesn't need the materials. If you actually got in the Ancient Age, it would be wonderful, but you don't actually get it until the Middle Ages. Because you likely have a source of iron in your empire somewhere (which is necessary to build Knights), you're not really getting any advantage. Now if by some odd chance you DON'T have a source of Iron, it'll allow you to build your elephants. However, bear in mind that you will need iron to make things like Pikemen and Railroads.
I'm not going to say "India is WEAK! Play the whomevers!", because it's obvious that you simply want to play them. I say "Go for it, you'll be "challenged" by them!"
-F-