My guess is that connecting a city to another city-within your nation-will start an automatic trade route between those cities, with the value to each city probably based on factors such as distance and relative city size.
Between nations, I am guessing that when ever you establish a new trade deal, you probably get 1 or more 'trade routes' forming around the same time-though which cities would be connected by such a route is unknown. Again though, the value of these routes will, I suspect, be based on distance and size factors-if not also culture and wealth factors.
As I said, though, this is nothing but speculation in my part. Soren certainly suggested that trade routes were an important part of diplomacy, which is why he was seemingly so annoyed with himself for not mentioning it in the GameSHOUT interview. Guess we will all have to wait and see just HOW important they are.
Yours,
Aussie_Lurker.