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1. Roads from your cities to your capitol increase trade. I'm not sure how foreign trade/trade with city-states works yet.
2. Roads improve movement speed and provide trade routes. You don't need...

It should, although later in the game you may see longer delays when waiting for your next turn. This is normal for everyone as the AI has a lot more thinking to do when it has more units.

How have you found your tech tree to progress? I feel like I'm basically filling out the tree in a linear fashion. I will generally complete the technologies for one era, then the next era, then the...

Same question here. I've found that cities generally pick the right tiles without me. Plus, it's much easier to not have to micromanage that when I start to get several cities.

Regardless, there...

Rome did this to me (not demo); their second city was smack next to my borders. I'm playing on difficulty level 2, so it was probably just a bad decision, although there were some resources nearby.
...

Graphics quality. DirectX 9 will have lower visual quality than DirectX 10 and 11. Both 10 and 11 will be pretty similar, though 11 will maybe have some noticeable improvements.

Edit: Only newer...

I saw someone on here post this link earlier:

http://www.justin.tv/kenutty#/w/406971408/2

It's a high quality stream. Enjoy.