Well heres what I've found out from playing the Demo:

New Civilisations:
Sioux
Aztecs
Iriquios

unique from european sides, the Iriquios are very different, can't play as the other two.

Petards and Horse Artillery:
New Euro units, petards are suicide bombers, Horse artillery are light cannon.

Saloon:
Hire mercenaries in-game, a random two merc units, and two of either bandit on horse (forgot names XD), bandit on foot, or pirate.

Revolution:
A new feature for Euro sides, all of your settlers turn into 'Colonial Militia' and you can buy no more villagers, only colonial militia at your town centre for 100 food a peice, you get 4 cards, none of your own cards, all of which can be sent infinate times, A fort wagon, some wierd steam boat thingies, 16 colonial militia and gatling guns.

Warcheif: Instead of an explorer, the Native sides get Warcheifs, which give aura-type bonus' to allied units.
A few other things I can't think of at the moment.

Is this game worth buying over previous Age of Empire games?

Do you know how to REVOLT because I cannot find it.

To Revolt; Get to Age 4, and instead of going to age 5 click on the improvment next to the age-up button.

Aztec ^^

I dont use the civilizations from AOE3. I bought it and the expansion at the same time so my race is Aztec at the moment and unless you can tell me a way to transfer my levels onto a different race, i'm staying Aztec.

Aztec are kinda easy though. I just get around 30-35 villagers, quickly advance up to Industrial, build 20 houses and a firepit, throw 15 villagers onto the fire pit, make 10 warriior priests and the result.

An Elite Skull Knight every 9.8 seconds. They have area affect attack and nice HP so all you have to do is walk a formation through the enemy and the Area Of Effect will kill them all quickly.

you should get priest shipments, and max 10 before you hit age 3. skullknights are a waste of time unless you are playing treaty games. Other units will work just as sufficiently and alot less time.