Curious. What makes you think spy action is underwhelming?
It may be because I play in "low" difficulties (prince), and by the time I can use spies, I am usually ahead of the rest of the civs, so I can't steal any tech from anyone. And if I try to use them as spies to steal money or science, it damages my relationship with them, which I don't like (I like to be friends with as many as possible ^^u), so I usually go only for diplomats. It's nice to see what's built and what's being built in any city, and grab a few votes for the World Congress here and there (sometimes, really expensive votes), but that's it. Maybe my problem is the difficulty level, and I should raise it.
That said, I didn't know about the capital thing, and I've always sent my spies to the civs' capitals. I'll try those options with other cities. Thanks.
Edit: a new question, due to something that has happened in my game. If I place an embassy in a CS, I'll get one vote from them as long as they aren't conquered by anyone. But what happens if another civ takes the embassy improvement with a citadel? I suppose that civ get the yields of the improvement, but do I still keep the vote?
Edit 2: ok, it seems I lost the embassy. I suppose it should be considered a "fair trade", as they spent another GP to get it.
Edit 3: and one more question. How do I steal the GWs? I saw a message telling "successful robbery" (or something like that). But when I go to the city and click on the GW, the "window" of my GWs is opened, and I don't know what to do there to get their GW for myself.