My issue with 4X games, real-time strategy, and even DOTA games to some degree, is how ending a match doesn't feel satisfying even when winning. I reckon that's partly because often after few conflicts, I tend to start turtling and building everything possible for a huge final showdown that then either doesn't happen or is a huge letdown after the exhausting process.
Civ 5 is a prime example of such a game. For the first few matches I didn't even know the exact win conditions -- sudden culture and time victories came as surprises. The latter I turned off after a couple more games because winning by score after 500 turns is the epitome of anticlimactic and an antithesis to the genre in my opinion.
Culture and diplomacy victories both support a boring, defensive playstyle, at least against computer controlled opponents. Just build a large enough army (points-wise I guess) so that they don't dare to declare war on you and slowly increase your influence over them and city-states.
To achieve a science victory I feel you need to specifically forgo quicker ways. At the point you have researched enough technologies to build the final spaceship part you require, you could've already won via other means.
Domination turned out to require less effort than I originally thought after I learned you only need to conquer each civ's original capital to win. In practice you end up pretty much taking every city anyway, though. It is definitely the most engaging victory to aim for but it also requires the most effort due to unit micromanagement. Moving your army across continents and oceans takes many turns. And even conquering the final capital gives you no fanfares -- the victory screen merely pops up.
There's much depth I didn't perceive at first too. I think you need to get bit of an understanding about the game's mechanics before different tactics start opening up. Those seemingly small +1's to different things start mattering more and lead to better strategies and build timing. Reading about the game on forums might be a quicker way to learn than playing, though -- I might still not know about jungle tiles' science bonus if not having seen a mention of it.
With all the available content installed, Civilization V has a lot to offer. You can play the game in endless variations. However, after 250+ hours play, it's starting to get somewhat stale for me. Endgame is always so similar with AI civs.
The next thing to go is voice volume. Hearing the same civ introductions, tech and world wonder quotes gets annoying. "A horse! My kingdom for a horse!" I initially thought it was Patrick Stewart reading the quotes but eventually I became to note the narrator's voice was a tad too hoarse to be him. (He's William Morgan Sheppard evidently.)
AI not smart enough
This is the kind of game they should make the machine learning AIs to master. The AI Civ 5 has is not exactly the most challenging one to play against. Apart from the easiest difficulties that have some extra rules to aid the player, the AI is the same across different difficulty levels. The game merely gives the computer players more resources when playing above Normal to increase challenge provided.
I'm not saying you can't lose a war against computer players, though. Starting next to a warmongering civ that has an early era special unit or two (like battering ram and chariot archer of the Huns) can mean a very quick end to you. Falling behind in technology due to unhappy empire is not good either, as I've noticed. You can save in single player but I rather start a whole new game if things go south than keep saving the game. There's autosave too, though, and I greatly appreciated the feature when the game once crashed.
I also find it highly amusing when one civ wants me to declare war on another and I agree even though I have no intention to start moving my troops to the other side of the map. The war can go on without a single fight for me and eventually the second civ wants a peace treaty and offers me one of its cities even though I did barely anything.
England is my city
There are 43 different civs to play as and I have yet try to quite a few of them. My favorite (so far) is without a doubt England because of their two special units. One of them is longbowman which replaces the normal crossbowman. The big difference between them is +1 to range. Having a range-3 land unit in the medieval era is ridiculous. I believe it's the only one until the industrial era artillery. Longbowmen cover such a large area and can attack cities from a safe distance. They're weak to melee but against AI it's hardly a problem.
The second special unit is frigate-replacing ship of the line which has stronger attack than the standard version. They can get the +1 to their range as well with enough experience and thus be able to bombard cities from afar. Their weakness is the requirement for iron, but if you have the resource, you will completely rule the seas and coastlines in the renaissance era, and likely in later eras as well.
Eventually newer units start to be too tough to fight against and you need to upgrade yours to the current era too. SotL upgrades nicely to battleship but longbowman not quite so. The land ranged unit upgrade line overall is puzzling to me. In industrial era, archer - composite bowman - crossbowman suddenly loses its range of 2 when upgrading to gatling gun and can only shoot to adjacent hexes henceforth. Longbowman retains its +1 range, and thus as England you can still have a formation of a melee unit in the front and ranged in the back but even England loses safe city bombarding.
Even odder an upgrade is how ranged chariot archer becomes knight which is a melee unit. All possible ranged upgrades gathered are lost. Thanks to that I avoid building them. Mounted melee units are not my favorites either since they are weak against cities and the spearman line (that barbarians like to build), and even lose their movement bonus in difficult terrain.
One unit upgrade that feels like a small victory in itself in early game, is discovering advanced weapons when exploring ruins with a scout. Suddenly a unit that normally couldn't ever be upgraded becomes an archer with a future and normal movement in difficult terrain to boot. It always feels so good.