It completely depends on the game and number of players. Feudal war rarely lasts a long time. City Mogul assassin is done in a day or two. But on the other hand, I had a 4 player Circus Maximus go for nearly 5 months.
The key for faster games is find a group to play with and agree on "real-time" games. Or just go premium and don't worry about it.
[This message has been edited by Ol Jock 99 (edited 10/20/2009 1:33p).]