Do you get more points for different victories?

Believe Military is the Highest. So yes you do. Alliance use to be the lowest.

so then Military conquest first, then influence victory, then political victory and finally research victory? is that the correct order?

I believe you can raise your score by having more technology, influence, population, ect. when you win. I could be wrong but I'm sure all the factors that give you a score are factored together at the end and you can look at the score scree.

Wirefire2 is right. It's just that because of military victory, you end up with all them planets and populations, etc. as opposed to other ways to win where you don't need to own it all and can still win.

You don't get points for actual win type. Since military conquest results in largest evolvment of your military and other factors, it yields the most points. You do get some points for difficulty level and possibly some points for ships you destroy (not sure about that one). You could probably get decent scores using one of the other win types if you build up your military and conquest enough planets.