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Resist the temptation to go on the offensive too early. Try to bide your time until you've researched gunpowder at least. And don't make too many enemies at once. A war on two fronts buried Hitler and it will likely do the same to you!
Always try to end a flying unit's turn on a city or airbase tile, or on an aircraft carrier. It's far too easy to let them run out of fuel. Air power's not as powerful as it should be either, so focus on developing your ground-based units first.
An army of tanks backed by an army of artillery is enough to subdue most cities in just a few turns. Bombard the city with the artillery for two turns, then let the tanks loose