The only major weakness in Zeus is the military aspect of the game, which suffers from atrocious AI and a notable lack of control. Directing your troops is fairly difficult, and sure to frustrate tactical-minded generals who dream about flanking maneuvers, pinpoint charges, and so forth. You'll often find that it's better to work on currying divine favor and attracting a few powerful heroes in order to defend your city from enemies. Thankfully, Zeus does give you the option to let the computer automatically take care of combat, which, though also inadequate in many ways, does manage to ease the pain of this experience. The diplomatic approach to ruling seems to work better than a militaristic bent, and there's more than enough fun to be had without approaching Zeus as you would a war game.
Balance is the key to running a healthy society.
Don't forget the importance of a good economy in claiming dominion over other city-states. Be careful about needlessly using military force, as soldiers are drawn from your city's population. Basically, this means that if they're out in the battlefield, they're not back home doing their jobs. The gods are crazy. Be sure not to piss off the wrong god at the wrong time.