Is there a certain order to go through when you learn new "stuff". For example should I try and learn things that make military stronger or should I learn things to make me richer or make my science better, also are there certain techs that you want to get as soon as possible?
It depends on your strategy, a person going for conquest goes for military. A person for space, culture, or Dimplomatic should go for more peaceful techs (but still keep up in defensive units).
Of course
Peace- Republic, Democracy
War- Monarchy, Communism
You have to do all of the things you mention, and all at the same time. That is what makes this game so rich. Just play a lot and read a lot of the posts and strategy articles in the War Academy.
Keep in mind that you have to have a strong military to survive. Don't neglect it in order to build your infrastructure. Expand your number of cities as soon as possible and build your military. As you grow you will find you are able to build up your infrastructure.
As for the techs you want to get, there are a million different opinions. However, I believe in the theory of Bamspeedy, one of the better players, that it is good to give some concrete advice. Therefore, mine would be to go for Horseback Riding and then Monarchy in Ancient Times. In the Middle Ages get Chivalry and then go for Military Tradition. In the Industrial Age, go for Sanitation if you are behind in techs. The AI never goes for it and you can sell it for a bundle. After that go straight for Replaceable Parts and then Motorized Transport.
Certain techs can give huge boost if you manage it get it before anyone else. For instance, if you get Military Tradition (which enables the Cavalry unit) before any of your neighbours get it or Nationalism (Rifleman) you've got a golden opportunity for some unprovoked aggression on your neighbours.
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