I like to play GA, but will also conquer additional land that is strategically/economically feasible, especially if a back-stabbing neighbour attacks me first. I often like to take on little colonies here and there, then lose them when they it gets too difficult to hold onto them.

In my current Turkish campaign, I conquered all of the steppes, up to Novgorod and Livonia, then "managed" to lose them all, first to the Horde and later to their successors, the Rebels. Now all the steppe provinces have at least a castle and more developed infrastructure than Spain, Central Europe, Italy or North Africa
As someone already mentioned, little rampages with Muslims are always fun, because you can later follow them up with Jihads.