For my current game, I took a step back to Emperor level, though. I wanted to try an early game Domination Victory, chose Alexander the Great on Pangea and Epic speed, and it's just way too easy (except for holding on to conquered cities during a Dark Age).
I think I'm going to try the same thing on Immortal next. Maybe even slower speed so we spend more time in the lower tech levels where all Alexander's advantages are. And I need to start spying earlier; stealing tech boosts helps a lot in keeping up. I'm still not quite decided whether it's better to stick to a regular age all the time or flip between dark age and heroic age; Heroic Age is awesome, but hard to guarantee, and holding on to conquered cities is very hard during a dark age (I just learned that the Bread & Games project exists primarily for that situation; it helps a lot to have an entertainment district near your front lines).