Hard to answer this question by just voting for one option. Most players won't be commited to pursuing any one victory type when they start out, they will adapt their strategy to the situation they encounter.
I would say my default strategy is domination, in the sense that in the early game, I will try and expand, which in almost all cases includes a couple of wars. If diplomatic blocs form in the course of this, I will consider diplomatic, and I often build the UN for backdoor diplo wins (voting yourself in with just your pop) - all the fun of invading/conquering, but less hassle than domination in actually claiming the land. Don't like the drawn out nature of proper domination and conquest wins. Also, I hardly ever play for cultural and find space race and time victories ust plain dull.
Much as I am in favor of flexible strategy, my biggest problem is not committing to a victory type early enough. If you play for diplo, backdoor domination or all out war to the finish line, you will often be less sucessful (= fast) than just pursuing either of these with all you have.