Oh, the first thing I do when I start a game is press the spacebar. I really don't need to see how long it takes an army to march.
Also, I turn off the "Follow AI moves" or whatever it's called in the game options. Trust me, I'm all about speeding up those interminable AI turns.
Even given all of this, the AI turns can take far longer than they ought to. I'm on a mildly overclocked Core2Duo, 4 gigs of low-latency RAM, Windows XP Pro, 1 gig 4870; the only thing I could do to make my machine speedier would be to move to a quad-core. Trust me, if the game can't sing on my rig, it ain't speedy on anybody's rig.
Once they're done crushing game-killing bugs, I hope like hell they work on optimizing the AI turns. They're ... quite ... loooooooooong ....
-edit-
Oh, and to speed things up, I also dove into a clean install of Windows XP PRo SP3. Quickened everything on my 'puter except ETW.
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