This is something that has bugged me for a while: I think cultural victory is incredibly hard to achieve, in fact almost if not really impossible. Now I know it can be done so don't come rushing in saying 'I have done it so there is not a problem' (I've done it myself also), but I still think it's too hard.
First off, completing 5 policy trees requires 30 policies. That's a pretty damn lot! Even if you subtract the odd free policies (Oracle and Sydney Opera House, is there one in Piety also?), it's still 27 you have to get. And even if you get to aquire all those policies, you have to build the massively expensive Utopia Project (and you can't use GE to rush it along).
One of the issues I have with CV is that it obviously appeals to small focused empires (3 cities or less) because otherwise, policy cost grows pretty quickly off the board. However, very small civs inevitably suffer on Science: Science is one of the only features in game that does not scale with empire size, so if you have few cities and hence low science output, you will have trouble keeping up with the big guys. One of the most powerful ways to help that is by going Rationalism, but Rationalism excludes Piety (and vice versa), and Piety seems like an almost necessary means to achieve Cultural Victory.
I've had some pretty bizarre experiences while trying to win my first One City challenge, a game mode where Cultural Victory seems like the obvious target. Most of the times, I perish because I fall behind on science. One time, I actually managed to finish all 30 policies and then started constructing the UP, only to loose when I was 4 turns from finishing it - because the game was out of time, and I was only #2 on the leader board. That was excruciating.
I had a similarly strange experience the other day, again playing OCC and aiming for a cultural victory. However, this time I played Babylon and went Rationalism to keep up with science (which actually worked, the combination of a very early Academy courtesy of free Great Scientist, and Great Library and Oracle made me stay ahead in science almost entire game, in spite of having only one city), only to realize in modern era that the loss of Piety ment there was no way I could achieve 30 Policies, even though I had 20+ World Wonders in my city (including all the important cultural ones except Sydney Opera House, which I couldn't build as I was not costal located). So a bit desperately I shifted horse and went for Science Victory, which I manged one turn before Korea would have finished their space ship! How bizarre is it that it's easier to win a Science victory than a cultural victory with only one city - a game setup that would hugely favor cultural victory?
So what do the rest of you think - is there a problem with Cultural victory - and if so, what needs to be changed? Personally I think Policy cost in late game is way too high - even with Broadcast Towers and Cristo Redentor, it's very slow to progress with policies in late game. Also, I think there should be more ways to get free policies and I think the Utopia Project needs to be cut down in price.