Have played only Mesopotamia, Age of Discovery, and am currently playing Rise of Rome. I like them all!! Here's a breakdown of who I played and the strategy I used:
Mesopotamia: Played as Phoenecians. Centrally located great for making contact and trading tech early. Ally with Babylon then spank the Hittites and Sumerians. Oh yeah, and don't piss off the Egyptians. Build wonders fast and win.
Age of Discovery: Played as Incas. Remember you're going for cultural victory in one city, so this conquest is all about capturing/enslaving workers and sacrificing them in your capital. Build culture in capital and build defensive units in a couple other cities to hold of the conquistadors/musketmen/whatever. I actually lost the first time I played this because I tried to expand too far. (Conquistadors are tough to beat!) Better to focus attention and build good defense in only a few cities. Then pick off easier units, hope for enslavement, and then let the blood flow down the altar for a tight cultural win.
Rise of Rome: Playing as Carthaginians. Hannibal + Army of Elite Elephants = 18 Hps worth of Fast moving Roman butt-kicking. Managed to decimate Rome's stack of 25+ Legion IIs and IIIs in the mountains of Northern Spain with 2 elephant armies and about 10 elite elephants. (6.5.1's vs. 4.2.2's) Elephants retreat before dying, so with judicious use of road pillaging and retreating to heal in barracks, you can keep hitting their stack at full strength while they are moving one square at a time. I think the AI was overconfident in the strength of the stack since sometimes it moved to grasslands or plains. If I was Rome, I'd stay in the mountains. Pretty fun though, to beat a superior force with your unique units and good tactics. Unfortunately, Persia has it too easy and now I'm in the middle of crushing through Egypt with my second force so I can wipe a few Persian cities out. They are just ahead of me in pop% and area% and they never have to fight the Romans! Luckily with all the fighting, I've generated four GLs/armies. Hope to pull this one out in the end.
Next up, Fall of Rome...
Mesopotamia: Played as Phoenecians. Centrally located great for making contact and trading tech early. Ally with Babylon then spank the Hittites and Sumerians. Oh yeah, and don't piss off the Egyptians. Build wonders fast and win.
Age of Discovery: Played as Incas. Remember you're going for cultural victory in one city, so this conquest is all about capturing/enslaving workers and sacrificing them in your capital. Build culture in capital and build defensive units in a couple other cities to hold of the conquistadors/musketmen/whatever. I actually lost the first time I played this because I tried to expand too far. (Conquistadors are tough to beat!) Better to focus attention and build good defense in only a few cities. Then pick off easier units, hope for enslavement, and then let the blood flow down the altar for a tight cultural win.
Rise of Rome: Playing as Carthaginians. Hannibal + Army of Elite Elephants = 18 Hps worth of Fast moving Roman butt-kicking. Managed to decimate Rome's stack of 25+ Legion IIs and IIIs in the mountains of Northern Spain with 2 elephant armies and about 10 elite elephants. (6.5.1's vs. 4.2.2's) Elephants retreat before dying, so with judicious use of road pillaging and retreating to heal in barracks, you can keep hitting their stack at full strength while they are moving one square at a time. I think the AI was overconfident in the strength of the stack since sometimes it moved to grasslands or plains. If I was Rome, I'd stay in the mountains. Pretty fun though, to beat a superior force with your unique units and good tactics. Unfortunately, Persia has it too easy and now I'm in the middle of crushing through Egypt with my second force so I can wipe a few Persian cities out. They are just ahead of me in pop% and area% and they never have to fight the Romans! Luckily with all the fighting, I've generated four GLs/armies. Hope to pull this one out in the end.

Next up, Fall of Rome...