The first patch for Civilization IV is now available - version 1.09.  The file is huge - 24,834,449 bytes - it took about a half an hour to fully download it on my high-speed cable modem connection.

To update your game, click on the Advanced button in the Options menu, then click on Check for Updates.  The patch will download, then the updater will pause to request permission to exit out of the game to install it.  Installation takes a few minutes, and apparently does not require a re-boot.  At the end of the process the program asks if you want to use an application called XFire, which is supposed to facilitate easier multi-player games.  I haven’t tested it yet and therefore can’t vouch for it, but I installed it.
Here’s an excerpt from an official release by Dennis Shirk of Firaxis Games:
Some of the highlights include multiple AI improvements and tweaks, worker behavior tweaks, MANY game play improvements (ex Animal Husbandry reveals horses), promotion tweaks, a softer pillage sound (requested by many, many people), fixed diplomatic exploits (gold for gold, peace treaty exploit), multiplayer tweaks (Hot seat, Lobby, etc.), memory, caching and performance improvements, etc. There were also a number of video card specific fixes.
http://www.2kgames.com/civ4/firaxis_note_01.htm