I'm an SP-only guy, so I don't know how well this translates to MP, but my preferred mode of play is to agressively pursue "peaceful" expansion (ie: only going after indeps, no wars with other races) for as long as possible, while expanding my power base, research, and gold/gem income, while trying to maintain peaceful borders with any races I encounter). I've had pretty decent luck with the AI maintaining peaceful borders with me if I put up some respectable defense nearby and don't provoke them. (Also keep in mind I like to play on bigger maps where there is more room for everyone to expand before fights break out over territory. I hate it when I find an enemy castle 2-3 provinces away because you're at war almost immediately.)
Anyway, first I try to take all the surrounding provinces to my castle. After that, I might try to take a second layer around my castle, or I might set my army off expanding in one direction:
That depends mostly on my position on the map, and whether I spot any enemy candles. If I'm near a map edge or other more-isolated territory that is unlikely to be grabbed by anyone else in the near future, I'll try deprioritize taking those in favor of territory that might be snapped up by an enemy. Similarly, if I spot some enemy candles in one direction, I'll try to expand over that way to grab some/all of intervening territory before the enemy expands into all of it. More provinces for you, less for them.
