[ano]

Whom to attack first is in most cases the question that may cost you the game. The reasons are simple - difference between nations may not be big initially so you need to consider many points before attacking.
Personally I nearly always try to attack weaker (or at best - AI controlled) nations. If I swallow them then I will grow and increase the difference between me and the others.
I will attack a powerful nation/player early on only if I see that he is expanding and growing faster and I can't help it. In this case diplomacy should be used to convince other people that this nation is a threat (and it is almost always true).
One of the biggest mistakes that can be made in MP is failed early attack on someone. This will surely put you to the end of the caravan and most probably cost you the game. Even if you succeed in killing that nation at last you may be too far behind to hope for something so if you see you made a mistake better don't aggravate the situation and suggest peace.