Odysseus is one of the trickiest heroes to play, with a (mildly) challenging start position, micro-heavy battle style, and some very weird campaign mechanics that render all inland territories effectively worthless to you. But that's also what makes him so different from everyone else, and so rewarding when you play him well.
As Odysseus, you can only upgrade the main building chain in any region that isn't on the coast. This means conquering great swathes of land isn't really the way to go, so your focus should probably be on the Homeric victory - follow Odysseus's quest line, and sneak into Troy with his unique Trojan Horse mechanic to make the siege /much/ easier on yourself. You can try confederating some of the smaller Greeks when you get strong enough, but obviously prioritise those with coastal territory.
You start with a spy, so send him out along the coast of Greece, out to the islands (perhaps via Crete, if Menelaus hasn't got there already) and then on to Troy. Have them establish safe havens in all the territories you'll ultimately seek to settle, and you'll be able to replenish your losses or raise secondary armies immediately regardless of whether the settlement you take has any military infrastructure. This is Odysseus's main strategic advantage and will be really helpful when taking on the tougher opponents.
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