Expand until you can have a steady supply of everything you need. On Extreme, you rarely need to take more than 5-6 territories besides your home province.

Make sure you store nothing but the bare minimum of resources! Food is good for colonization and not starving; nothing else. Wood should be used immediately; if you can't use that 150 wood immediately because you don't have building space, you need more food to colonize another tile. If you have over 300 food or 200 wood and Winter isn't coming, you're not spending your resources in a timely fashion. Pretend you're a project manager, and your boss is going to take your budget away if you don't spend it.

Krowns are nice, but unless you are playing Raven, you only need enough for upgrading buildings and hiring a few military units. Try to keep about 100-150 in reserve with at least +2 production and only push Krowns if you need them for Upgrades or Military.

Mine Stone and Iron as early as possible on most maps. Upgrading buildings is vital.

Trading Posts are the Great Equalizer. If you have a map rich in forests, or food, you can sell off the excess from your efficient, upgraded buildings instead of posting villagers as Merchants. Depending on the map, you can get 2-6 trade routes going at once, though you rarely need more than 2.

Don't buy resources from the Market! It's almost a guaranteed sign you haven't expanded properly or in the right order. The campaign ensures that you are near all vital resources, so don't buy from the Market unless absolutely necessary!