The first thing to say is that Europa is a pretty diplomatic sort of game. You don't have to talk to all the other players every turn, but probably most turns you'll want to be talking to two or three of them, and because of the changing geography of the kingdoms this will probably have included all seven by the end of the game. So establishing contact early on is always a good idea, and it might even help you to come to an agreement about your first decision - what to bid for on your startup.
There are twelve leaders available, and eight players, so the chances are that if you bid all ten of your control points for one leader you will get him. On the other hand, if you spread them about a bit, perhaps even bidding for ten separate leaders at one point each, you might get more than one, which would be good. It's not a huge disaster even if you end up with no leaders at all after the Turn 0 bidding round, because then you'll get a barbarian horde and also you're all but bound to get one or more leaders on Turn 1. So you may decide to forget the whole leader thing in the startup and instead bid for some provinces, which will start earning you victory points straight away. Don't forget, though, that victory points earned at the beginning of the game are not as valuable as those scored towards the end: and that, while you are developing independent provinces, you may be scoring victory points for you, but you're building a powerful future kingdom for somebody else.
This fact - the degradation of early victory points - means that even if you're some way behind on Turn 10, good play can bring you back up into contention. So you might want to think of the first half of the game as building a platform for your assault in the second half, rather than simply trying to score as many victory points as you can each turn.
In the early part of the game you can pretty much ignore threats from overseas, because no-one will have enough social civilization to be able to cross the water. Similarly, mountains will be an effective barrier. So looking at the map, there are a few areas which are better suited than others to building kingdoms that will persist. Italy is good; so is Spain; so is the Scandinavian peninsula; so is Great Britain, give or take the North Sea raiders. If you can manage to arrange matters so that you are the only player with a leader in one of these areas, and that you religiously bid for every new leader who appears near you, you should be able to build an empire that will persist for many turns and become highly civilized.
The tricky part of the game is striking the right balance between trading, developing and conquering. Each kingdom can only do one of the three each turn, all three give you victory points, and none can be neglected if you are to prosper. If you can manage to get a duke of your own inside your kingdom you can have him do the developing for you, which is very helpful, but otherwise you'll probably want to spend two turns conquering for one turn trading and one turn developing, or something like that.
Be wary of using persuasion too much. It's possible, especially in the early game when kingdoms are small, to have a kingdom which is almost all made up of persuaded vassal provinces, which is all very well but once they start rebelling they really are more trouble than they're worth. If you make sure that the vassal proportion of your kingdom never gets too great, you should be reasonably safe.
Keep an eye on your attitudes. It's always best to declare unfriendliness to someone the turn before you attack them, if you're a large kingdom, although of course it does give them warning. And remember that while your new kings will inherit other people's attitudes to their predecessors, they won't inherit their predecessors' attitudes to other people.
In general, don't be afraid to be bold, especially in your bidding: and if the part of the map where you are getting bogged-down, don't be afraid to forget about it and pick up a new leader somewhere else. In the early game, at least, there will always be room for you to build a kingdom.
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