It all depends on what nation you are playing. Let's assume you play an easy one, say England.
1. MONEY!!! Focus on stuff that gives you more money. Mines, factories, things like that. This has a snowball effect by letting you build even more stuff down the line which gives you even more money which lets you build even...
2. TRADE!!! Get trade agreements with as many people as you can. You can have trade agreements with nations with whom you have a land border and your capitals are on the same landmass OR if you both have a trade port open. Also, build Trade ports. You only need one or two Military ports and you should only build fisheries once you are trading with everyone.
3. EXOTIC TRADE!!! Aside from the three major theatres (America, India, Europe) there are several minor areas. These are each home to about a half dozen "nodes" which can generate income. You need to grab these. Mass produce cheap trading ships, send them to these theatres and park one on as many nodes as you can, then proceed to reinforce them with more trade ships and a few escorts. If you're playing the Spanish or the Dutch you get special Trade ships (Galleons and Merchantmen) which don't require escorts. If you can secure a substantial number of nodes, it'll be a huge boost to your income.
4. FOCUS ON YOUR OBJECTIVES!!! If you're playing England, Spain or France, you'll get a mission that will result in your colonies joining you. Focus on that. It's worth it.
5. PICK OFF THE WEAK ONES!!! Indians, minor nations without strong allies, things like that. If you can take something without it resulting in a war with a major nation, it's usually a good idea to do so. Another example are the Barbary states, which are ripe for the pickings. Also, the Pirates of the Carribien are weak and have no allies, meaning free towns for you!
6. DON'T PICK FIGHTS!!! Deal with existing conflicts before starting new wars. Even if you aren't at war with anyone, don't rush into something, use time to build up. Someone will declare war on you soon enough.
7. SPAM LINE INFANTRY!!! Early on, Cannons kinda suck. Before higher caliber models and advanced ammunition come into play, they are a waste of an army slot. Cavalry has its pupose (chasing runners, flanking, killing cannons), but you only need a few units at most. Line Infantry is the workhorse of your army and with good reason. Solid, reliable, well rounded - this IS your army. Everything else is there to give them a hand. Get square formation early on to counter cavalry charges.
For more, give me some specific questions.