I’ve been playing this series ever since I was five years old, yet I still haven’t quite understood how to advance in the quickest way possible. If anyone with some experience can enlighten me – and others --, please reply!
Don’t be afraid to create lots of villagers in your early game. They can hold back advancing to the Tool or Bronze Age a bit, but you’ll need them for the resources they can gather. More workers mean more materials under the same time, and you’re gonna mine loads of gold anyways for the technological upgrades (and units).
I also like to build fishing boats because they’ll cover my food income in most cases, and they only cost wood. 10-15 ships should be enough, but if you feel it slow, either create more of them or just build another dock, because you won’t lose that much time by the travelling to the fish and back.
Basically how I play is 5 boats with 5-10 villagers woodstocking and gathering berries in the Stone Age, then 10-15 boats with 15-20 workers once I advance to Tool Age. 5 of them should start gathering Gold, because Bronze Age is near, and the upgrades can be costy. (If you play on a map without sea, then you should trade the boats for farms.)
I mostly start creating my army in the Iron Age, as my warfare is around the Horse Archers (maybe because my ancestors were in the cavalry and I love archery). This can backfire as well, because you could be unarmed in the open until the midgame, but a few warships can be useful with basic military units to protect you.
Don’t forget the Watch Towers, build them to guard your docks and town, and always have two priests ready for healing and converting.
Check your idle workers regularly as they don’t add anything to your economics. Pressing the . (point) button on your keyboard or the icon in the upper left corner on your screen will focus on it, if there’s any. Comma (,) will select idle army units. (This can now select idle villagers in a transport, which can be a bit confusing.)
From the Iron Age you won’t need as much wood as so far, try to find untouched gold mines (like the tiny islands on the sea), or just steal it from someone’s territory if they forgot to gather it in time. 
Farms can also be very good source of food beside ships (especially with the market upgrades for more resource), try to have 5-6 active if you can manage it.
If my villagers have to walk more than the range of a scout (the simple horse unit) from the stables (I mean its vision range from one side to another), I always build a new storage pit. Time is money, friend! (Or at least, resource.)
I play on maps with islands most of the time, but if you prefer something else, then don’t be afraid to build Walls. They held back the White Walkers for ages as well, so wandering enemies won’t touch you, either. Building a single unit of wall is cheap as ■■■■ (5 stone, that’s almost free!), and can withstand lots of damage.
Beside the separation and area denial, they can also protect your workers while they chop wood or mine gold.
Of course catapults can bring them down very fast, but you’ll cavalry should take care of them.
My late game usually has 20-30 villagers (maybe a bit much, but you know, a transport and suicidal attacking on enemies can help if the population limit is very low, or just press delete). Half of my fishing boats gets destroyed by enemy ships, so maybe 5-10 are around.
The other units are archers, priests and warships, but based on your playstyle you may have catapults, elephants or infinite ballistas (they can be a really huge pain in my … eye, but the Phalanxes can take care of them).
I usually play more peaceful in the early/mid-game, but my late-game is all about the armies and invasions. 30-40 Horse Archers can bring down the enemies very fast (don’t forget to have a few priests ready for healing them, it can save you a lot of gold). A few villagers to build a Temple/Archery on the obsessed will save you transporting time as well.
Another tip, you can kite around the catapult/ballista/ship missiles, because if you move in one direction (straight left/right/up/down), they’ll fire to where you’ll arrive. As soon as you see the projectile, instantly turn around and move to the other way. The missiles will miss, but your archers are fast and can shoot their target 2-3 times during the maneuver. A bit of practice can help you with more complex movements as well, but the basics are the same.
Don’t build too crowded, your units will have problems with moving around, your villagers can get stuck between buildings, and enemy catapults will damage more things with one shot. There’s no point in spreading across the map, either, just find a balance.
Maybe I was a bit too long, but if any new players read this, it can be helpful for them as well.
Another tip would be to focus in your civ buffs, that can guide you to know what kind of units you should train more and what kind of stuff they are more proficient; and the same way with your enemies (so you can counter them).
Exploration is important too, in the start you should start exploring with a villager (when the map is not explored from start of course), and while doing that beware of lions and crocodiles, sometimes there are 2 of them together and that is 99% chance your villager will die (multiplayer latency is responsible in this).