I've watched some let's play videos with Egypt on immortal, and it became clear to me that Egypt's wonder bonus simply won't be useful. The guy playing started out with marble, rushed for the great library, and even uncovered ancient ruins that helped him towards writing, but even then, the AIs got it. He ended up not building one single world wonder in his empire. The other AIs were simply getting most of the wonders before he could even build them.
He played with 7 or 8 AIs, which of course meant it was harder to get the wonders than if there had been fewer opponents.
A key to winning on immortal appears to be the ability in the early mid-game to resist the military of AIs. The AI will always be able to produce much more than you, but is terrible at handling units, always throwing them into the offense.
I think another important factor on immortal (and deity) is the game speed. Playing on the slower speeds give advantages to human players because it will take much longer for the AIs to replace all the units they keep throwing at you in wars.
So I think the lessons learnt from the playthrough for when taking on immortal is:
- Choose the slowest game pace possible.
- Don't try getting world wonders, especially not in the early game or if there are many players.
- However, look for the world wonders enabled by policies, and check if other players have adopted the branches enabling them. You might have some chances here.
- About the time of the medieval era, it becomes extremely important to have a military capable of defending against the AI.
- On immortal an deity, it's probably best to simply ignore the religion aspect of the game and focus on the core in the beginning, let the others found religions, and let them spread to you. If there's one with useful benefits, maybe get it spread around your cities.
- Rushing for artillery, having cannons ready to be upgraded and upgrading them as soon as you get artillery, can be a very useful strategy to conquer an AI civ. Taking their capital might grant a lot of useful wonders, and if you rush, you can get artillery before them.
- Use spies offensively - most of the game will be about catching up in technology so there's little point in having them in your cities. Rig elections or steal tech instead - if there's a lot of players, steal from someone geographically far away from you.
- If there are many players, get a many defensive pacts as possible to reduce the likelyhood of AIs declaring war on you. AIs don't seem to make defensive pacts. If you don't lower diplomatic penalties than from declaring war, you can even make a defensive pact with one player, then bribe the AI you want to attack to declare war on the one you have a defensive pact with, then you'll automatically be dragged into the war as well. (Kol)
- This is probably mostly a lesson to myself - don't keep an eye on just the worked tiles, but also on the specialists assigned to buildings in cities, and try to avoid getting almost all the buildings in all the cities. Units are very important.
I've played a lot as Germany instead, and might take on the challenge as them, for their lower land unit maintainance. The Zulus look interesting too.