Here's a thread to share tips and tricks.
Always build walls. They're great for stopping many cheap raiders.
Get a leader with at least 20 spellpoints. Send him with a small army to get experience by slaughtering easy hostile troops and save for another level in spellcasting. Then you'll probably wont have to worry about casting those big spells.
Of course this strategy is debated. It's probably not the best but still a good one to try if you're new to the game.
You can save points your heroes get when they level up by not using them until a second level. That way you can get the expensive skills.
There's a catch though. The points doesn't get saved if you save the game so you have to play until he/she level up again and pray for not getting a crash. It's best to save the turn before they level up to be sure. That way you won't lose that much gametime if you do get one of the very rare crashes.
Giants and Ballista are excellent troops.
Always get high defense on your heroes first. Then resistance.
Scout with flying or waterwalking units as quick as you can if you're on a island map. Otherwise scout with cheap cavalry. That way you can get free gold\mana and unclaimed buildings fast.
That are some starting tips from the top of my head. feel free to add more.

First impression: This game is hard.

Even with these tips i'm getting utterly destroyed in the first Dark Side campaign. (Not winning a single fight) And the Light Side campaign only does it slower. o_O

I've not tried the campaign yet, but in the scenarios what sets the tone for the entire game are the options you pick at the start.

Hero customization is a fun option, especially if you want to have a hero-centric game. You can actually remove all the spent build points and make a character completely unlike their parent race, letting them avoid some of the pitfalls of certain inherent weaknesses, or putting extra points into exploration, combat, or spellcasting.

If you want a game that's not focused on keeping your main hero from getting wiped out, pick the option that lets your main character be off the map. You still get to construct a hero from scratch if you want to, but you can lose ALL your heroes in this mode and not lose the game, which is a big relief on the defensive side. On the offensive side, though, it means you have to hunt down and destroy all units, instead of doing cheap leader strikes.

Being a fan of Heroes of Might and Magic, I tend to choose Classic rather than Simultaneous, as the former fits the old mold a bit better. The latter means you can sometimes sneak ahead of the computer in certain places, but the computer will more likely know where to go before you do. Classic is not as fair, though, if you happen to be placed last in turn order, especially on maps with a lot of races involved.

When picking enemy AI, pick the level you think suits your abilities. What's especially important, though, are the AI behaviors below the difficulty. These will often change the flavor of the game entirely. When you have enemies that slash and burn all the time, you will much more likely be fighting for your life early on, as they are less likely to make deals with you than they normally would be, and more likely to burn useful places to the ground. To make things fun, I tend to have potential ally races have lower-level AI than my likely adversaries, and I set all behaviors to random so I can't predict how they will act.

That leads me to the last option that comes to mind, the win-by-alliances mode. For the conquer-all types, this probably wouldn't satisfy them, but I tend to like using this to help me keep ahead of the enemies, who are often unafraid to ally with each other when they have similar alignments. It helps emphasize the diplomatic side when you have it switched on, and it can be fun to work with another group to try to hold off the evil (or good) hordes.

The what where now? Are we playing the same game? o_O

I set the difficulty to Easy, but that didn't seem to make any difference at all.

Why are you losing fights?
A fight against the AI when you're attacking should go something like this: First deploy your troops in a wall formation. The ranged units (Except priests.) go point in the jagged edge of the hex grid. Melee troops go behind them a little because of the hex layout. Slow melee troops in the middle and fast like cavalry on the flanks. It's ok and advised to send them ranging on the flanks.
The key here is ranged range. If the AI don't have a wall he will attack as soon as one of your ranged units get in range ( Get one of your ranged units in range for a attack with one of his slow melee units. Use the hex grid.) Use this to lure him out and then when he attacks kill his troops with ranged fire and then finish them of with melee troops.
If the AI is behind walls do the same but use ranged wall crushers to lure him out.
Remember ranged units, especially ballista are very powerful.

Edit: The fast moving troops, heroes or cavalry should of course use the flanking position to take out enemy ranged units or other hard hitting units with little defence.

It's good to have a general tactic like that, Tarm, because then you account for when the enemy has ranged attackers.

But for me it depends on what types of enemies the enemy forces have. Like, if they have no ranged attackers, my ranged attackers are always surrounded or at least protected on one side by melee troopers so that they get extra chances to fire.

If facing cavalry, I also have the archers in the back ranks, because I've learned I lose too many archers, etc from quick strikes from powerful enemies. Since archers aren't generally strong unless you combine shots from a lot of them at once, I also tend to want to keep them in the back as a general rule.

The only time when this doesn't work is when the enemy has a significant number of ranged troopers, and can fire at the melee troopers I have in front. But what I do in that case is change the formation so that the melee troopers can retreat beyond the maximum range of the enemy, forcing them to advance into range of my own archers.

Wall climbing is god in single player, always have a wall climbing on your assault hero. AI is easy to fool this way as they will leave city wall en masse to attack even if your measly squishy leader is the only unit that can scale the wall - yes, you do not need any wall crushing units, though if the enemy has really long range attackers, like ballista, he may still leave them behind walls.
Enchanted weapon is an excellent spell, as is Haste.
Spellcasting is a priority to at least III, it is also good to have first strike and extra strike on your melee characters.

Build walls AND leave units inside, preferably ranged ones - else you can expect a single suicide goblin take half your cities before you can react properly.

Yeah, definitely don't underestimate the single wall-crushers. They can take any unoccupied city with ease.

I wonder what the suicide goblins do, though. Do they just threaten to blow up if no one lets them in? ;)

Oh, right. I only tried the campaign and there is no nuanced difficulty sliding. Nevermind that. >_>

The issue i have in fights is that i need to advance my ranged troops just close enough to be in range of the enemy for them to make their collective move. But then their scouts/wolfriders/whatever cross the distance between mine and their troops (due to having greater range) and kill them pretty much instantly. Maybe i should just advance a single unit as bait instead.

It's quite possible that i'm just a bad tactician though. I ponder just letting them fight on their own, except for when they behave really stupid when doing so. (Fights are somehow calculated differently when using the Automatic option. Having Wall Climbing on your hero there will get him/her killed. No exceptions.)

Cavalry can shred archers, yeah. I tend to have ranged troopers directly behind a row of infantry, since they can shoot over friendly infantry without trouble. That way they get some shots in before the cavalry arrives. If you're into micromanaging you can even surround your archers with melee troops to allow them more hits before they're exposed. You can advance them en-masse by enclosing them in a box and moving them one spot at a time (although it's a time-consuming pain to do that).

While it may feel unethical, bait troops can sometimes be helpful, though the AI isn't always fooled by that. It prioritizes units and goes after those, rather than picking whatever's in front of it.

If you want to focus on strategy, you can still do the automatic resolution and see how that goes, but sometimes the computer makes some pretty poor decisions (as you say), and sometimes the automatic system actually resolves battles as if all combatants are within range of each other, making it especially deadly for dungeon crawls, even when it should be relatively easy.

Didn't know that about the wall climb thing, that's another strike against auto resolution! :)

But you can hit the auto button when combat starts and watch how the computer controls your units, maybe learning a few tactics from that. You can always hit the auto button again if you see something you want to do. It's a lot less dumb than the fully automatic option.

If you try that, let me know if that helps at all.

The campaign also has me stumped. (Dark Elves one)
Really not sure what I'm doing wrong, but I get wiped out pretty quickly, and lack the gold to improve what cities are in easy striking distance.
Guess I'll be trying out the scenarios to see if those are better, and then come back to the campaign later!

[edit] Tried the Dark Elves campaign again, got the first goblin city and two elvish ones. Migrated goblins to the elvish cities, but ran out of gold so can't make any units or fortifications. Stuck! Can't find a decent guide or walkthrough either. Frustrating.

I've got this game on CD, but never finished it. I'm giving it another go lately, and I'm making it further than I have before. I'm not a strategic genius, so it's a challenge. Just cleared the Hall of Heroes in the Keepers campaign, which was not an easy task.

For Age of Wonders 1:

One thing I've noticed in campaign mode is that the enemy AI seems to work on map triggers. If you find your cities being suddenly bum-rushed, you might have stepped into territory where you're not welcome and activated an AI attack. Explore carefully and save frequently; some of these triggers are nasty, and you may need to avoid them until later in the mission.

Learn the Town Gate spell and make use of it. I use this spell all the time to gate my heroes back and forth across the map in emergency situations. It will probably take several turns to cast, but it's still a lot faster than walking. Make extensive use of your unit enchantments, too - an extra sword or shield makes a noticeable difference, especially on an entire stack.

If your defenses are spread thin and you're under attack, sometimes it's better to pull your forces back and let the enemy take one or two of your towns (especially if you can gate in a hero to take them back again). Sometimes I've had no choice but to temporarily cede ground to avoid losing even more.

Key point when defending a walled city: if you can prevent the attackers from breaching your walls, you're safe. The AI tends not to come prepared, so often you'll only need to take out one or two units (often battering rams or wall-climbers) to force an entire army to retreat. Keep this in mind when setting up garrisons.

Occasionally, it's worth the effort to make use of enemy units from captured cities, even if you have to shuffle things a bit to keep their morale up. On one map, I captured a level 4 orcish city and used its red dragons to get rid of some air and water units that were pestering me.

If you run out of spells to research, make sure you set your power allocation for research to zero to maximize your mana income - the game doesn't do this automatically.

As far as running out of gold, do you maybe upgrade too quickly? I tended to upgrade when I first started playing, until I realized that it was 250 a pop. Better spent on units that you can spread out and capture resources with.

Same. I tried this game maybe 5-6 times on the Dark Side and have gotten a few towns, and to the town on the NE side but haven't really come close to beating the first level. I feel like I'm doing something wrong. No clue.