Thanks for all the replies; judging by the fact that most everyone is recommending something different, I probably can't go too far wrong.
I have to say, avoiding R'lyeh is... well, it's something that won't last too long. Unleashing an army of shapeless ctulhoid horrors is probably what sold me on the game.
Still, they sound fairly tricky, so I'll play around with more straight-forward stuff first.
So, to summarize:
1) I should research as much as I possibly can.
2) Temples everywhere.
3) Play a "standard" infantry-archer-cavalry race at first.