Build Order

Although the build order depends on the scenario you are playing, there are four basic strategies to follow.

General approach
You will almost always build in the following order; By this time, you will have all the production you need. In the mean time, you should have hired some soldiers and conquered some land. You can now build some decorations to get to the first prestige point and go for Church/Export office/Stronghold. Build all three. Be careful, if you are in a scenario with aggressive enemies, you might first want to use the boards and stones for fortifications first. In any case, it helps to use the bonues that you have received in the mean time to get more boards and stones to speed up building.
 * 1) Set up production of boards with a lodge with a forester, lumberjack and sawmill. Preferably another lodge close by if there is enough space, with a forester and one more lumberjack. With enough boards and stones, anything can be built, so it always pays off.
 * 2) Set up production of stones with a mountain shelter with a stone miner. Preferably 2 stone miners. It will pay off.
 * 3) Build two residences and a noble residence to get enough living space for your population.
 * 4) Set up basic food production; a lodge with a fisherman if there is fish (preferably 2 fishermen), or a farm. With enough space, build two farms. The first one should have 2 grain sheds and a windmill. The second one a grain shed, a pig farmer and a sheep herder. With farms, also add a bakery to the residence. Also, don't forget to build a well if it is not there from the start. Preferably in a vacant space near the warehouse.
 * 5) If you don't have coal, conquer a nearby area with coal and build a warehouse there.
 * 6) Set up a mountain shelter with an iron miner and a smelter.
 * 7) If you don't have coal, conquer a nearby area with coal and build a warehouse there.
 * 8) Build a mountain shelter with a coal miner or add it to an existing one. If there isn't a coal mine to be had, build a coal burner, then a hut with two lumberjack and a forester to get enough logs.
 * 9) Set up basic factories. Add a weaving mill to the residence, build a noble residence and add a butcher there. If you can manage to build another farm with 2 grain and a pig farmer, or a hunter if there is game, set the butcher to fancy food, and all other production facilities as well. This will boost your economy a lot. You can now decide to destroy the windmill and bakery because you won't need so much normal food any more. If you have enough tools, you can also add a tool maker (or skip this if you plan to get all tools from bonuses), a wheelwright, a mint and a clothier.
 * 10) If you don't have gold, conquer a nearby area with gold and build a warehouse there.
 * 11) Build a mountain shelter there with a gold miner or add it to an existing one.
 * 12) Build two more noble residences at home and add a weapon smith, a book maker and a jeweler. Build a butcher if you didn't already do so. You won't need more than one of each.

Trade approach
If you want to specialize in trade, here's what to do; You can soon hire merchants. Go to the trade map and plot a course towards the trade outposts that you want. Each trade post gives you a specific trade possibility so choose wisely. First, only go 5 steps. When you reach that location, you will get a victory point. You will also have enough trade options to trade unwanted things for gold and get the Banker victory point. Then, continue by your own discretion.
 * 1) Build some ornaments until you get one point. Spend it on Church/Export office/Stronghold. Build it.
 * 2) Follow steps 1 through 4 as above.
 * 3) Now build the Export office. Recruit 7 traders (first expeditions require 2, the next ones 4, and you will need at least one spare to actually trade goods). You can think about building the church or stronghold too, to bet on two approaches at the same time. This will cost more materials, more so for the additional living quarters needed, and for additional warehouses to keep your logistics in order, and it divides up your attention.
 * 4) Execute point 5 as above.
 * 5) Set up production for clothes, rings, horses, wheels and gold coins. You will need coal, iron and gold first.
 * 6) Skip the tool maker. With enough bonuses, you can gain tools. This will leave iron for the wheels and rings.
 * 7) Add beautifications in the garden behind the export office to get one more prestige point. Spend it on the Export office upgrade. Upgrade the Export office.

Technology approach
Actually, this is roughly the same as the trade approach. Set up production for beer, books and rings. You will need another lodge for paper production, and iron and gold for the rings.

To stay ahead of the bishop, you have to build the church as soon as possible. Also, set up a strong beer production (another farm with two grain sheds and another brewer) to get many monks. With these, you can send out 3 expeditions as soon as the first 9 monks are recruited, and outbid the bisshop with additonal monks, You can choose not to outbid him when he outbids you and send the monks to another location. In that case, you will have to get more monks to stay ahead in the number of technologies researched if you want to get the Enlightened victory point.

You will want to go for the forest, mine and farm boost technologies first. Anything else is up to you. Most other technologies require more advanced clergy so recruit those. Also, you can use the clergy as extra protection in your outposts, and to convert regions peacefully. This could get you the Pacifist victory point too.

Combat approach
Maybe this is the section you were waiting for.
 * 1) Execute points 1 to 5 as in the trade approach. Instead of the Export office, build the Stronghold.
 * 2) Set up production for weapons, wheels, horses and gold coins.
 * 3) Add to the stronghold to get another prestige point. Upgrade the stronghold twice.
 * 4) Recruit 1 bannerman, and at least 4 cannon and 8 horseman. Now you can go conquer whatever you want. Make sure to let the army rest and replenish it.
 * 5) If you can manage to get enough coins, recruit at least one more general. Think about which one to hire; for neutral camps you can hire a close combat or range specialist, for enemy camps you can hire a fortification specialist.