My advice:
In provinces that give valour bonus to units, build all the requirements to get those, and upgrades that come with the same castle level (perhaps even a master level building so as to get valour +2 units). Specialise other provinces for a particular unit type, and choose how far you want to go with other upgrades, such as armour and morale. Usually a good thing is to build up coastal provinces, since you'll be able to move armies to the frontline quickly. I also usually build up provinces with iron to get metalsmith, and these tend to be more versatile in what theyc an build if I have only few of them. Build the economic upgrades in profitable provinces, not in the likes of Cyrenacia.