I'm also working on this, got into the Industrial era so far. Egypt, Settler difficulty, Small Earth map, random opponents (turned out to be France/Celts/Denmark/England/Ethiopia). Started with marble in eastern Mongolia; got a settler from ruins and settled in Afghanistan for desert (marble there too). Had to annex Paris to get a coastal city before anybody built Great Lighthouse or Colossus.
The only "problem" I noticed was all the wonders giving so much culture that I was plowing through policy trees too quickly - I had Tradition, Piety, and Patronage filled, and the opener to Commerce, before unlocking Freedom. I'd tried once before and was teching too fast to keep up wonder production up to pace, but I think I overcompensated this time.
Other shenanigans possible on Settler: With those opponents I had the third pantheon, but Stonehenge sent me way ahead and I had enhanced before anybody founded a second religion. Ethiopia's capital is the only city left for me to convert. Happiness is something like 128. At least for now, I'm generating artists faster than I can run out of Golden Age turns