I'd suggest three options, actually
- Player loses immediately after he loses his capital ("Regicide")
- Player loses if he loses his capital and doesn't retake it within 10 turns ("Great Patriotic War")
- Player only loses if he loses all his cities (with settlers being as cheap as they are, this can lead to some long games though)
Also, as an additional checkbox option I'd suggest ability to move one's capital
- For, say, 1000 gold - within Ardania (price increases with each subsequent move)
- For 1000 Mana - to one of parallel worlds (it can be a spell, actually)