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Do you usually stay in your home sector and colonize each and every last planet first, building up tons of resources and ships, then start exploring warp points?
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In 4x games, it's almost always best to grab as much territory as you can as early as you can, *then* develop your colonies.
But with the AI as it is, you can pretty much do as you like and still come out of the first 20 or so turns with a massive advantage.
A lot depends on what's in your home system, though. If you've got planets with breathable atmospheres, grab those first. If there's no interesting planets in your home system, get the frigates first and send them off to see what they can find.