It depends a bit on whether you play GA or not. In GA, garrison your borders, take a risk and build infrastructure, it helps a lot, as Gregoshi said.
Of course, you can't afford to sit idle forever, because your influence will suffer. And that is especially bad for the HRE. Try to complete your glory goals by taking Pomerania and Prussia as soon as you can.
After that, you have to act according to the situation.
The Italian campaign should only be undertaken if there is turmoil in those provinces, also it is hard to arrange for the Pope to leave Rome and reside in the Papal states.
See to it that in the Franco-English War, neither side gets all those lands to the West, they will be too much trouble then. If you can't keep the balance there, try to take a piece of the cake, if England wins, take Ile de France, Champagne and Toulouse. If France is winning, invade Britain and try to take as many provinces as you can (sans Scotland).
After this phase you should be in a good position, as in GA the AI factions aren't that aggressive, perhaps you will forge a Catholic alliance against the Eastern powers such as Byzantium or Egypt. It should be smooth sailing from there.

In total conquest mode, there are indeed many options, if you feel like it, wipe out the Danes early, but I would let them be for trading reasons. Then basically you can decide whether you wish to do an Eastern campaign or a Western one. Again, I would advise you to do an Eastern campaign.
It is risky, but potentially rewarding. Ally with the Poles, they are usually very loyal and will attack you only if they have no other way to expand. your next aim should be to take Pomerania, Prussia, Lithuania and Kiev. Crusades will help, and don't be afraid to go to war with the people of Novgorod, if you have to. Once you have secured these lands, you have to assess the political situation. If the Poles now attack you, march in and eliminate them quickly.
Next should be the Hungarians, unless they fight the Byzantines/Egyptians/Turkish. One of these will probably have a big empire now, so that makes them your primary concern. Don't expand beyond Kiev, stop on this front and wait for the arrival of the Mongols in 1230. Focus on the Balkans and try to help anyone fighting the empire of Asia Minor. Take as many provinces in the Balkans as possible.

At the same time, watch for the West, keep the war between England and France going, the Italians are unlikely to attack you, they will trade and be more focussed on naval wars. Place agents in Iberia to see whether Spain or the Almohads are winning, if either of those conquers all of Spain, it is time to worry. See if you can lure France/England into a war with the Iberian power, that will buy you time. Never forget to upgrade your provinces, then you should be able to afford 3 main armies, one in the East, defending, one in the Balkans, defending/expanding, and one in the West, ready for anything
Yes, it sounds like war on all fronts, but you will most likely have the support of the Pope because of your war against the infidels. Of those 3 fronts, you have to focus on one of them and try to end the war there, perhaps if you can march into Constantinople you have a nice choke position to defend, which also happens to make good money.
You should have achieved this by the time the Mongols arrive. They will usually attack the owners of the most eastward provinces, and that will not be you, ally with them and let them fight the Byz/Egyptians/Turks for you while you focus on another matter:
If you are in that position, then try to conquer Iberia and Western Europe, the order depends on who's your ally there and who's not. After that, you are in a splendid position and should rest for some decades, to cultivate the land and increase the loyalty of the population.
Once that is done, you can go on conquering the rest of the world.