Quests Are Bigger Than You Think

Quests aren't just there to fill out building bonuses and show you roughly what to do in the game. They are a vital way to customize your nation, but that is only the surface. Get used to the affinity quests during your first few times in the game. These are one of the strongest ways to make yourself a powerful military force without spending any major Production. Affinity quests have multiple steps and don't give their rewards out until you've accomplished everything in the chain. However, the final rewards are so major that they shift the balance of power in the world.

Always hunt aggressively to get the rewards for the Familiar Exotics, Cultural Burden, Solid State Citizen, and any of the exploration quests (for the Elemental Cave and such). These quests get you enough affinity Experience to upgrade all or most of your troops because you gain a few affinity levels at once. You won't get that from scientific Research.

Look at your Quests and Victories screen frequently to see what you can do. A few turns to train an extra explorer and a military escort can get you way more than any single wonder or regular building ever could.