I play for Conquest wins only. Ever since Civ1. I can not figure out how to do this on any level from Noble or higher.
Anyone have strategies? The cost of too many cities makes this difficult. I suppose having vassals and alliances help, but still...
Most of this site is oriented toward teaching you how to do so. Take a look at the War Academy.
That said, I can give you some simple, generic strategies that will help you out on the medium difficulty levels (Noble through Monarch). Basically, they boil down to cottage spam, using slavery, building courthouses, and razing enemy cities, instead of keeping them.
Unlike prior versions of Civ, you need to use a little bit of strategy in Civ4. You can't simply spam units and expect to win. Automated workers are more intelligent than ever now, but you'll still do better to control them yourself. I'm a huge fan of the Financial trait and cottage spam. I never pillage any of my neighbors' improvements, since I'm going to be using them soon, myself. The exception is when I raze a city.
If you're already losing money, don't keep cities that you conquer. When you do keep a city, make sure to build a courthouse. Also, optionally build a market, bank, and grocer, and you'll be rolling in money, especially after you build Wall Street in a city that's already making lots of money (preferably through something like multiple shrines or corporations). At the very least, you should make sure your core cities are built up. On Noble and Prince, you really don't need to specialize your cities, though many people do. Even on Monarch, I haven't felt much need to specialize my cities.
Use slavery to get a basic infrastructure up. Slavery makes building expensive stuff like banks quite easy. All those angry people weren't doing anything useful, anyway. Also, Versailles and the Forbidden Palace help to make your far-flung empire more solvent. Each of them reduces the amount of maintenance you pay for nearby cities. In Beyond the Sword, your extra-continental cities cost you additional, even higher maintenance. You might want to stick to Pangaea games for this reason.
Personally, I find conquest victories to be too time consuming in anything but duel or tiny worlds. One of these days, I'll take the time to conquer a small world, but I think anything larger would be mind-numbingly boring for me.