Nice to know about loading armies, not that I'm often in a position where I have armies before railroads. (My thoughts had been more along the lines of, build the town, load the army, abandon the town. The army wouldn't have stayed in town to be slaughtered.)
The Zulu are going to remain a tempting target as long as they don't have gunpowder. If we delay a little while, we'll still be safe. Taking out the Zulu does make a lot of sense, but I think we can keep them pillaged to Impis and longbows for a while. Zimbabwe can't trade, since it isn't coastal. What we can see of the terrain doesn't suggest saltpeter deposits, and we can keep the land pillaged anyway. Until riflemen, the Zulu will have big problems. For this reason, I'm inclined to go for the Arabs or the Indians first.
Pillaging Arabia and Persia with our next army does give us a wide range to pillage. Taking out the roads would also keep Persia from getting to us quickly when we do invade, reducing the amount of time we need to spend actively engaging both of them.
These lead me to believe that India should be our next target. If a third leader falls into our lap, however, I'd send army 3 to India and then invade the Arabs, following in the footsteps of our pillaging army.
Jungles: Most of the cities with other unimproved land aren't working the tiles that aren't improved, because they have better choices. The jungle will give us good land once it is clear, and several jungle cities are working poor tiles. I think now is a good time to clear it.
Bursa: Bursa is 21 shields from the barracks, gaining 10 per turn. If the chop comes in 2 turns, we'll lose 9 shields - not so good. (I haven't checked; are we sure the chop will go to Bursa rather than Edrine or Uskudar?) I'd rather get a courthouse there than a market, though.