Usually its best to take out the Italians quickly... this solves quite a few problems and makes the Pope more of a pain, but a harmless one. Afterwards certain French regions in the west can be easily taken as Ile-de-France, Flanders and Champagne, this usually quiets the French permanently. Taking over the Poles solves a frontier problem and silences a permanent pest, while taking over the Huns is the most ludicrous and promising, but usually at the same time one may be fighting a Spanish or Almohad invasion from the Iberian. The Danes are a toothless tiger because they have to attack accross the bridge to Saxony. Not worth the time to take out unless one has taken out all others already and has safe rigid frontiers and a solid healthy economy.

In many ways its interesting with the HRE because the direction of expansion/defence depends on the balance of power in other places of the board. The game can have lots of ups and downs that are hard to predict.