I always make a province my capital, when I play as the Turks I take over constantinople and build a lot of buildings in it, almost all of the buildings, making it my capitol.

Whenever I play in central Europe I make Ile De France my empire's capitol. When in the south eastern region, I make either Constantinople or Palestine my capitol.
The Balkans, I make Bosnia (BKB mod) my capitol.
North Europe, I make Wales my capitol. and North eastern, I make Moscowy my capitol :)