Try to take out direct neighbours asap. If I find a concurrent civ early enough I sometimes don't even build my first settler before I have at least three archers in order to capture some enemy cities. Barracks in your first city are a good idea too, if you're lucky, you'll get a great leader (which means a wonder) very early in the game.
After the initial cleaning of the area around my civ I often wait until I have knights, you can pre-produce knights pretty good by building horsemen and upgrading them once you have chivalry. Leonardo helps a lot in this case, since the normal price is 80 gold per upgraded unit.
Art of war helps a lot too if you have many other civs on the same continent, because captured cities immediately have barracks and your units regenerate within one turn in newly captured cities and you can upgrade your units anytime anywhere.