I always build the workshop first (unless I just happen to be sitting on a materials resource), and get pioneers going asap. Then arcane laboratory or study, depending on which is most needed. I.e. if I find a library, it's arcane. If I fine an arcane resource, then it's the study. Due to the food issues, markets are usually a 'luxury' choice if I have boatloads of food, otherwise I've been avoiding them lately.
If there is a material resource nearby (lumber mill, clay mine, etc), it becomes a priority. Once one or two of these are 'active', and I am generating more materials per turn, then I don't worry as much. After all, you need materials to get the gold mining going later. And build pioneers. And some other stuff...
I build huts as soon as they are needed (i.e. when a city is reaching it's maximum population). City growth is more important, especially in the early game (so you can get those cool building upgrades for larger cities online as soon as possible, such as temple of essence).
I pick familiar as soon as it becomes available as a spell choice. Familiars are disposable. Sovereigns aren't...
I also play a female sovereign, and marry Janusk as soon as he's willing to accept (once I've earned the necessary reputation). This gets the kids in play as soon as possible.
Janusk gets sent one way to raid the goodie huts/notable locations/etc. and my Sovereign goes the other. The hope is to find a sand golem early...
That and the usual build on any nearby resources as soon as you can, and try to have each city straddle several resources if possible for efficiency.
Summoned creatures are a priority in my research. I like having giants, familiars, elementals, etc. running blocker for my sovereign. See disposable familiars, above. This saves gold for all the other things, and also allows me to save my troops for early/mid game assaults on other sovereigns.
Finally, any time I come across a hero, and have the cash on hand (or will shortly), I add them to the roster, unless I see an even cooler/cheaper hero nearby. With the new food rules, farmers are a lot more important, especially later for the mid/endgame.
Once the kids start showing up, they get put on goodie hut/location detail as soon as they are available, and start summoning creatures to protect them as well. Once at least two kids are in play, that's when I more seriously start to focus on eliminating enemy sovereigns/kingdoms/empires.
Bows are critical. This gives my heroes and sovereign escorts the ability to shoot/kill opposing forces, with my summoned creatures acting as minor spellcasters and shock troops. Again, better to burn through mana than gold/units. Bows are expensive for heroes, after all!
Building up my sovereign stack to 8-12 units fairly early is another goal of mine, and I steamroller through any kingdoms/empires I think I can get away with with said stack, before they research enough military tech to make this difficult.
Also, non-aggression pacts with not so annoying neighbors are early game priorities, unless I have to pay significant gold to enact them. Any empires who demand a LOT of extra gold are usually marked for early extinction in my book, before they become too much of a menace. Any empires who will pay some extra gold for the non-aggression pact in the early game are helpful, because you can always use more gold in the early game. Plus, those pacts expire after a time, should you wish to invade them later...
Tech-wise, what I focus on depends on how close other kingdoms/empires are, but exploration is a priority, as are a few military techs. Militarily, I go for group/squad techs, bows if I don't have them already via empire choice, and axes/armor. Also, food production is often an early priority (irrigation, grain silos, etc.). Working towards the temple of essence is a (lesser) priority, as soon as the food and military situation are resolved to a comfortable level for the moment.
Regarding exploration techs, the goal there is to get the additional 'lost' resources in play as early as I can, and to also boost up the location levels I can visit early to help bring a lot of gold in earlier. Hero techs are a lesser priority, but I will research them on a whim if the other techs look sufficient at the moment.
Caravans are nice, so I research diplomacy once I've gotten immediate priorities out of the way.
One other thing. Any essence boosters (potions of essence, rings of essence) are split between available heroes (on a one per hero only basis) as soon as possible, so they can start raising their essence stats on level ups, giving me more spellcasters for the midgame. I'm not sold on 'imbuing' champions as of yet, at least not until the mid/late game. My Sovereigns don't have enough Mana as it is, at least not until much later in the game.