Which strategy to follow in building a Caravan deck?

Caravan is very very easy if you follow this strategy:

Fill your deck with as many 7-9-10 cards as possible, (4 each from the starter, and buy as many 7-9-10s as you can get your hands on) Fill the rest of your deck with useful fillers, like face cards (especially Kings). Try to keep your deck size to a minimum of 30 until you have a lot of 7-9-10s.

When you start your hand, before you put down any cards, discard everything until you have 3 10s, 3 9s, and 2 7s. Start by putting down your 3 10s, and then put down a 9, and 7 on one of the piles your opponent doesn't play on. Finally, put down the 9 and 7 on one of the other piles.

With this strategy, you can win almost every single game of caravan you play.

I like a variation on yx_'s answer. The Caravan AI is not particularly smart, so I've not seen much use in building a particularly sophisticated deck, but I've done this partly out of habit and partly just in case.

The idea is the same as in most other build-a-deck games: a smaller deck with more cards per rank is better. The more cards and ranks you have in your deck, the less likely it is an individual card will appear when you need it. However, if you only have a few ranks, then you're vulnerable to moves by the AI. (For example, with just 10s, 9s, and 7s, you'd be in trouble if the AI knew to play a Queen on your 9, reversing the pile and effectively locking it, or to play a Joker on a 10 in a pile not at 26 yet, pulling out your 10s from the other piles and preventing you from hitting 26.)

First, remove all cards in one suit. Doesn't matter which one. (In fact, you can do that with yx_'s deck to defend against the AI plays above.) Remember, to play on a pile, you must either continue the order or follow suit. The fewer suits you have in your deck, the more likely it is you'll be able to follow suit. AI plays a Queen on your 10♠/9♠? No problem, play a 7♠ anyway. If you don't keep Aces in your deck, you can probably remove two suits. (A Joker on an Ace removes the other non-face cards in that suit - I haven't yet seen the AI play a Joker on its own Ace, but if it did, that could be kind of a problem for a two-suit deck.)

Second, stock up at both ends, high and low cards. High cards get you in range quickly, low cards fill in the gaps in case you're not quite to 26. 4s through 6s just take up space in your deck ... kick them out.

Finally, drop the Queens. Sure, they're nice if the AI has a 10/9, or if it realizes it can play on your pile, but that isn't nearly as common as starting a pile with a 10 when you have a 6 in your hand, or with a 9 when you have an 8. Stock up on Kings instead, to double your piles (or even your opponent's), and on Jacks, to knock out that 10/King combo the AI just played.

Yes, it's overkill - most of the time the AI will fiddle about as you build your 26s - but it still works, and who knows? Maybe you'll be inclined to play against your friends some day with real-life cards, and you know they'll be preparing for your 10-9-7 deck.

Breaking this down by card type:

Ace to 10: I like a good mix of cards here, mostly because you never know when you're going to need a 3 to get to 26. Granted, if you have nothing but 10's and 6's in your deck, you never really need to worry about that...

Jack: Eliminating an opponent's 10 with attached King is something quite exquisite. You can never have too many Jacks.

Queen: This is my least frequently used card. I keep a couple in my deck, but mostly use them just to mess with an opponent. If they put down a 10 followed by a 9, drop the Queen on it and they have to throw out the entire pile.

King: Very valuable. You'd be hard pressed to find a place where these are useless. Throw in a bunch!

Joker: This is card that really makes the game fun. Play it on your own deck and watch as your opponent's cards go flying off the table. If you like a challenge, get as many of these as possible.

So the final verdict is: good mix of number cards, plenty of Jacks and Kings, very few if any Queens, and as many Jokers as you feel you can handle.