War more or at least neglect units less. The penalty for doing so is greater, but the returns of building them are greater on epic.
IMO, epic is the best of the 4 game speeds.
Quick: Completely useless, unless you want to cheese culture. On higher difficulties this speed can make warring impossible. Even as game turns make years go faster, troop advancement is guaranteed to move slower. Playable if you can win without going to war on the map, utterly useless if you can't.
Normal: What the game was scaled for initially, I think. This is the fastest speed that is playable IMO. Offensive wars are harder than slower speeds but easily doable...you just have to be careful. On some of the higher difficulties, war in certain eras takes a back seat as suboptimal. Space/culture are easier to win on this than slower speeds, while war is harder basically.
Epic: IMO the best balance between game speeds and victory methods. Even on normal, it's possible to start a war, advance fairly well, and see the AI tech or steal (god knows how they suddenly have the EP for this when they're so backward they don't have any EP multipliers, but whatever) 2-3 techs mid war. This is particularly terrible on high difficulties because the AI can magically upgrade virtually every unit (wait, how did they get $$$ while putting so much into the EP slider that they could steal tech?!). Regardless, epic alleviates some of this. Space and culture remain viable on this difficulty for both human and AI, but wars actually feel balanced even at higher difficulties.
Specifically, what I like about epic over normal is that you can actually fight in any era, well other than on deity maybe.
Marathon: I would have less of a problem with marathon if not for one thing: deliberate imbalance. Marathon makes units cost less relative to buildings than on other speeds. Between this and warfare time (where basically nothing scales), wars are laughably easy on marathon. Part of me likes it inherently because it's just not realistic that armies appear out of nowhere while powerful standing forces march, but the slow pace and bad scaling turn me off to it most of the time.
IMO aside from random events which are horribly implemented and should be off by default, the speed scaling issues is one of the bigger failures with civ IV. I like war but on quick it's not realistic at all, even though if quick were balanced properly it would be my preferred speed.
Instead, spending 25-30 turns at war in quick is an eternity, even while it is blazing fast on marathon and pretty good on epic. That WOULD be fine, except that wars on quick are rigged to take MORE TURNS than on slower speeds, rather than less. This disparity frustrates me to no end.
These days I mostly play epic, with some normal and marathon here and there.