When I play an RTS like Command & Conquer, I build base defenses and economic units as my first priority.
In Sins Of A Solar Empire, I send out scouts to determine the layout of choke points while I construct a small fleet composed of an Akkan Battlecruiser (a capital ship which can colonize and increase the efficiency of fleet attacks) and a few frigates. I capture the asteroids first, then any terran planets, building up infrastructure as my fleet expands my empire. Once I have a good economic base, I build orbital defenses along with amassing a fleet to conquer more planets. Once the fleet is large enough, I wipe out planet after planet of my enemies' colonies.
In East India Company I follow the maxim of "if you wish for peace, then prepare for war." I use warships as tradeships basically. Although for getting started I make my first fleets composed of sloops and schooners and have them just ferry goods between the closest ports and my home port. When the other companies decide to declare war in 1700, they soon lose practically their entire set of fleets as most of mine are composed of galleons, frigates, 46 guns, and 90 guns and their fleets are composed primarily of tradeships most of the time.
In Age of Empires, I build up my economy, then my army. Wait for the enemy to start attacking before attacking them, then send my entire massive army to overwhelm them.
In Company of Heroes it is a little different. I usually will go either airborne or mechanized and they play a fair bit differently. With Airborne, you can capture remote targets and general tick off the enemy like crazy. With Mechanized, I amass tanks and flood the battlefields with them one after another. However, in CoH there is the added difficulty of continually having to capture and recapture checkpoints, which are - essentially - your economy. I take as many as I can early game, fortify them with .30 cal machine guns, snipers, and flamethrower mechanics. Having light armored vehicles helps to be able to rapidly recapture stolen checkpoints.
In Galactic Civilizations II, I try to keep developing the economic situation on the planets, keep people happy with as low of taxes as possible, keep researching new technologies, sending out colony ships, constructor ships, and building my own military ships to guard the trade routes against pirates and Kilrathi.