I like to do all of them. Sometime going from one into the other is fun as well, combat into culture can be a nice challenge after you've pissed of all the world. I've done diplo only once yet. Somehow it's not something I consider yet when choosing a victory condition. Of all of them I've got the most dom victories I guess. Yes, the AI isn't too great in combat, but they're definitely not too strong in any of the other victory times... I just love building up your army and planning how to conquer your enemies. Every now and then you'll get some interesting challenges, because the combination of the map and the AI's accidentally made it hard to conquer someone. I like those moments.