Read Sir Pleb's article in the Strategy Articles forum titled "Maximizing your Score".
Basically, if you play tiny or small maps, you want an early conquest/domination victory (0-1000 A.D. or earlier). Standard maps is kind of a toss-up, but it's usually better to milk. Large and Huge maps milk the game until 2050 A.D.
Dont' worry too much about score because score doesn't take into account improvements, wonders, great leaders, diplomacy, etc. It only counts territory (map size will affect this) and happy/content people (also affected by map size) and the finish bonus which is only dependant on what year you win (killing the world with knights will always get you more 'bonus points' than a spaceship, diplomatic, or culture victory.