This certainly depends on level/settings. The last game I finished was a space race victory; when I started playing Civ IV on Noble 2,5 years ago, I usually went for space (because that's what I had done in Civ II). Moving up the levels my games on Monarch usually ended with domination, because I found everything else difficult or tedious. Once you are ahead you can often finish with cavalry in the 1700s or so instead of teching all the way through, or maybe a little later with artillery and infantry. Modern wars when the AI has kept up are tedious, too, of course.
In the last game (Pacal, Emperor/BtS) I way solidly ahead in tech and especially power after having killed one and vassalled another civ, so I tried for space and it was fairly easy. Although Izzy invaded two turns before the space ship arrived and took a minor coastal city, because my military was concentrated on the other end of the continent.
I should really try for cultural victory again.
I did several a long time ago playing vanilla on prince level or so and maybe once as monarch. The problem for me is that often one has to fight at least one war anyway. Early rush I cannot pull off on Emperor, except maybe with a strong UU, so its either in the late BCs/early ADs with catapults and support or with cuirs around 1200-1300. In the latter case everything is focussed on winning Lib etc., so I don't have time to get all the culture buildings up in time. And often one has the advantage of cuirassiers or cavalry and cannons for considerable time, so it seems a waste not to go for domination anyway.