I agree (Darius), caravans are nice, but I don't build them until I have built most other important items. As for military units, I like helecopters because they have pretty good movement, can go over water, have nice attack power, and don't run out of fuel. They are ground and air units, so city walls don't stop them. They are very versatile. For defence I like Mech. Inf.'s, and for quick defence I use riflemen. I saw someone somewhere who said that Mech. Inf.'s were the best defenders, but that's really not true... carriers have the highest defense. Alpine troops are very good ground units for speed, being able to move three squares on any terrain. For attack, howitzers and armor are nice. For speed in air units, stealth fighters are very good, but stealth bombers can stay afloat for two turns, and have higher attack. For total movement rate, the nuclear missile wins, obviously, but has very different uses than the fighter and bomber.
By the way, does anyone know exactly what fortification does to a units defence? Does it double it, add it to the unit's attack, or what? Also, how do hit points and firepower effect the defense and attack of a unit? I am pretty sure the attack is multiplied by the firepower, and similar with the defense and hit points, but does anyone know?