It really works best in lan play. I've played about 10 games or so with 5+ people in a lan setting and it is awesome! Hands down my favorite lan party experience. Shifting alliances, resource wars, and technology races make it an amazing experience.
Lan play is different from single player in a few ways. You have to be prepared for war, and not just 2 archers in your cities. You end up spending alot more money / time on defense assuming you aren't playing with a bunch of "builder" fags. It only takes one game to learn that 2 archers or long bowmen in a city isn t stopping my 15 units.
I recommend starting in an age other than the first one or even 2. Otherwise, you can very easily spend 6 hours making 4 cities and not having squat for techs. It is damn near impossible to play all the way to the modern age in a single session if you start in the earliest age.
It can be very frustrating if you don't get access to iron early on and can put you at a severe disadvantage. Nothing more frustrating than a neighbor making iron units and all you can put out are bronze age units. IF you get stuck without iron, you got to bee line to whatever the techs are needed to trade overseas and hope you can convince someone to share.
When the game starts, depending on your map type and number of players, a land grab ensues. Unfortunately, due to civ 4 mechanics, if you expand to much early on, you tank your economy. But if you don't, and keep your economy in the positive, you will get steam rolled once a few ages roll forward by the player who tanked his economy and has twice as many cities.
Put the turn timer on fast. It s enough time to make decisions if you are actively playing the game and not putzing on the internet or AIM.
I highly recommend getting a lan going and trying it out. A fifth or 3 of vodka makes it even more interesting!