Step 1: Pick a major country near you and make an alliance with them. Prefferably marry your princess to their heir. This ensures you a measure of safety from one direction
Step 2: Expand to the neutral provinces in the direction of your ally. Since he's your ally, you won't be attacking him and you want to maximize your land grab. Any provinces you miss in the other directions you'll take later anyway.
Step 3: Send a diplomat to Rome and start paying the Pope 100-200 per turn for 20+ turns. This will ensure you're in good graces with the Pope (Christian) and/or that no Crusades will be called on you (Muslim). If you can get an Alliance with the Pope, even better!
Step 4: Send a few Diplomats on a world tour and secure Trade agreements with EVERYONE. Also get their Map info if you can.
Step 5: Gobble up any remaining neutral provinces, bunker down and start building up. Sooner or later someone will attack you, no point in rushing things.
Step 6: When someone does attack you, kill their arse. If the Pope tells you to stop, check your standing with him. If it's maxed or nearly maxed, ignore him and keep killing.
Step 7: After you have destroyed your enemy, go to step 5 and repeat until you win the game.
Other than that...
Always play Siege defenses (you'll get better results than in autoresolve), always autoresolve siege assaults or wait them out (autoresolve screws you over here).
You need more Cities than Castles. If you're playing Milan or Venice, you hardly need Castles at all. Being able to field a large elite army is useless if you don't have the money for it.
Don't build Farms in cities. They grow your population waaaaay too fast. In general, you want to be able to keep taxes maxed and get your cities to max size (24000 is the last upgrade, I think) and then drop your population growth to zero or less. If your population gets out of hand, consider spreading the Plague to overpopulated cities (I'm not kidding). You can build Town Halls when you need pop growth and demolish them later. Farms can't be demolished, so don't upgrade them much (feel free to upgrade them in Castles though).
Always sack captured cities, the cash is good.
Never break Alliances. Don't declare wars unless you have to. This lowers your reputation and makes other kingdoms less likely to deal with you and more likely to attack you at the worst moment. People will declare wars on you on their own and then you are blameless.
In general Heavy Cavalry and Heavy Infantry rule open field battles. Spearmen and Archers rule siege defenses. Everybody sucks at attacking in sieges.
Mongols will kick our ass. Timurids will kick your ass and then have rough sweaty sex with it. Mongols can be beaten in sieges (they don't have any cannons or catapults), but Timurids just bring their Elephant-mounted Cannons (again, not kidding) and laugh at you. The thing is, you need to fight them. If you let the Mongols settle and build up, they'll become almost unstoppable. Even if you're far away from them, call Crusades on their cities.
Speaking of Crusades, did you know you can call them on excomunicated christian nations? Can't hurt to call one on a city you were about to take anyway; two birds, one stone and all that.