For me its quite faction dependant. Generally, as the Roman families you are predisposed to expansion in one direction, Scipii into Africa, Brutii into Greece and Julii into Gaul. It will help you in the later game though, if you attempt to foil the other factions expansion policy. For example as the Brutii, head straight for Syracuse to prevent the Scipii taking it, and on to Sardinia to stop the Julii. Then a quick strike on Carthage to gain a foothold in North Africa. All this can be done prior to or at the same time as taking the senate's mission to attack Appolonia. This allows you to expand in all directions at once.
As non Roman Factions i try to ally with everyone exept the Romans, and then try to persuade other factions to join in against them as and when they attack me.As the Greek Cities for example, ally with Macedon(it wont last, but buys you time) Thrace, Carthage, Dacia, and Gaul. Help out the Carthaginians on Sicily against the Scipii, preventing their expansion, blitz Athens early for the cash cow and when Macedon attacks you, incite the Thracians/Dacians to assault their northern border while you take Corinth and Larissa. The key is to snaffle rebel provinces such as Athens, Halicarnassus and Kydonia early on, allowing you rapid expansion and income. Dont worry too much about settlements being ungoverned, this will soon be remedied once everyone starts breeding. Also make sure your navy gets attention. This means you can ferry your chaps about without too much hassle and your own ports will not suffer blockades for more than a turn or so. Do not build up your military too fast as this will rapidly bankrupt you, one or two armies with generals wandering about should be enough to relieve any of your settlements that are besieged and take a few new ones.
Some factions have obvious early enemies, so most of your time will be spent dealing with them, such as the Seleucids vs Egypt. You may find yourself on the defensive for a large portion of the early game as certain factions, but keep at it and use diplomacy wisely and you will probably be okay.
In short, as Romans, slap everything, as anyone else, consolidate what you have, deal with obvious threats, try to focus on economic growth and expand towards non allied powers.
To The Strongest..[This message has been edited by andromache (edited 08-27-2006 @ 10:22 AM).]