I usually build in this order, with some variations depending on mine income etc:

1. Dirt Farming - +60 income, plus you'll benefit from the growth while you tech the rest up
2. Communal Farming - same as above, but Crop Rotation too expensive early on
3. Roads - boosts trade and helps my armies conquer more efficiently early on
4. Grain Exchange - little bonus to trade
5. Port - little bonus to trade

That's often as much as I can do early on as you need to get bigger settlements to do more. Important notes are to always build Paved Roads and especially the Merchants' Wharfs line of buildings as soon as you can.