I did Zoroastrianism (as Persia, obviously) a few months back. I had a good, Persia is a strong civ and it's fun to take them into modern times. I think I completed it in the late 1800's
Some tips:
- Be prepared for the scripted invasions (Greece, Rome, Turks)
- Know who spawns where and when around you (Turks, Arabs, Mughals, Ottomans), so you can prepare your armies accordingly and conquer them swiftly
- Build lots of cathedrals in your capital for that sweet 50% culture bonus
- Persecute as much as you can to keep the percentage of Zoroastrianism up
maybe most importantly:
-Have fun, because it is a game
If you want a really easy ride, Polynesia is very easy. I completed it a few times by accident when I wanted to do the UHV.