Visit Tribal Villages and Explore the Map
Early on in the game, you should definitely send your Scout units out to explore as much of the map as possible. While it is dangerous to send units out alone, considering that you could get ambushed by barbarians, you never know what you might find while exploring. Tribal villages, for instance, are fairly common in the game, and visiting these will usually reward you with gifts like extra units to command.
If you’re lucky, you might also stumble upon a Natural Wonder that will give you a Eureka Moment. Eureka Moments will boost your research and development for one turn, which is extremely helpful, particularly if you need something built as quickly as possible. You can also spend gold on building and development, but why waste your money when you can just explore the map for perks?