Except for the first Civ's nostalgia factor, Civ IV is my favorite of them all. Civ IV is the first game since the first that Sid Meier was directly involved, and much of Civ IV's greatness may be due to that.
Civ IV has many very big changes. Corruption from Civ III has been removed, replaced with maintenance. Maintenance was in previous Civs, but before it applied to buildings in your city. This could have the effect of making big cities less useful than small cities. Now, there is maintenance for number of cities and distance of cities. This means that massive growth which was a useful strategy in the previous Civs will stifle your economy and research.
Also new is religion. Although ceremonial burial and monotheism were on the tech tree in previous games, and you could build temples and cathedrals, there was no distinction between them. And you can ask any crusader, it's not important that someone has a temple, but what that temple stands for. Computer nations will distrust you if you have a different national religion.
Another new concept is that of great people. Now a city will generate great people points from having wonders and specialists. When a city gets enough great people points, a great person will be born. There are five types of great people: engineers, merchants, scientists, artists and priests. All great people can give you a free technology, or become a super specialist in one of your cities. If you have more than one great person of different types, you can use them to send your civilization into a golden age. And each type has a special ability. An engineer can finish any building a city is working on, including wonders, an artist can give 4000 culture to a city, etc. But a great person can only do one of these things and then they're gone.
In previous games, there were different governments your nation could have. Despotism, monarchy, republic, democracy, etc. But they were pretty much set in stone. Democracy was always the best (of course, you needed certain technologies before you could be a democracy). The only consideration between governments was whether you were going to be at war or not. Communism and monarchy are good for war, while republic and democracy are good for peace. In Civ IV that's all changed. Now there are civics. There are five categories of civics, each of which has five mutually exclusive options: Government, which has options such as hereditary rule, and universal suffrage; Legal which has options like bureaucracy and free speech; Labor which includes slavery, caste system and emancipation; Economy which has free market and state property; and Religion which has theocracy and free religion. Each of the different options has different strengths and weaknesses. Now you can have a communistic economy while still having universal suffrage and free speech. This allows for much more flexibility in governments, adding to depth of gameplay.
Another new concept is health. Health replaced two concepts: pollution and population limits. Before, if you had a city with a lot of people and manufacturing power, it would make pollution, which you would need a worker to clean up. Also, a city could not grow above a certain population until it got an aqueduct and later a sewer system or hospital (depending on which game). Now, cities when a city gets unhealthy, its growth rate will go down, or even become negative. A city will be unhealthy because of large population, as well as certain buildings, like factories, and certain terrain, like jungles. A city can be more healthy by building other building, like hospitals, other terrain, like forests, and food resources, like cows, corn and fish.
Also important is the tech tree. Before, every advance had exactly two prerequisite advances. You had to have both prerequisites before you could get what they led to. In Civ IV it's much more flexible. Some advances have one prerequisite, some two, some even have three. But unlike the previous games, you don't have to have all of them to get it, just one. For example, animal husbandry, pottery and priesthood all lead to writing in Civ IV, but you only need one of them to get writing. (And a small note: in all the previous games, alphabet led to writing, opposite of Civ IV and opposite of how it actually developed.)
And in every game, the combat system was tweaked. In Civ IV, it got a complete overhaul, and it's probably the best system yet. Now, every unit has one number: strength. No more attack and defense. (Hit points and firepower are included in strength.) "But how can that be better?" you ask "Some units should be better at attacking and some should be better at defending." That's resolved by every unit getting special abilities. For example, a pikeman has a strength of 6 and a knight has a strength of 10. But the pikeman gets +100% strength against mounted units. Swordsmen get +10% strength when attacking a city. Longbowmen get +25% strength on hills and +25% strength when defending cities. Now, you can't just build a bunch of the strongest unit and stomp on your enemy, because every unit has their weaknesses.
In addition to that, experience has been redone. Now when a unit gets enough experience, it goes up a level, and it gets a promotion that you can choose. These promotions can make them stronger when in combat against archery units, or mounted units or gunpowder units, etc. Or the promotion can give them advantages on certain terrain. Or they can make friendly units around them heal more quickly. Or increased sight range or increased movement. The promotions make experienced units extremely valuable.
Addendum: Of course, Civ IV isn't perfect. One thing that I think needs to be changed in a future version is how food and growth works. It's been exactly the same in each game. A city makes food for itself - it can't get food from other cities or give food to other cities. When a certain amount of food has been stored the population goes up. That's pretty good for up to the industrial age. But at that point, a nation isn't going to let a city starve because it can't grow enough food. They ship food from cities with surplus. Also, growth rate stops being related to food supply since people can move around more easily.
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