Look at what you use a unit on the battlefield for and go mainly for the upgrades that increase that use.

Spearmen... I like them... I use them as speedbumps that stop the enemy... so they need armour and morale upgrades.

Cavalry... I use them to flank and attack the rear... they do not do well if they get rear attacked so they must strike quickly and get out... so they get sword and morale upgrades.

Bowmen... don't use them often except for defending a province (I take one missile unit in attack to manuveur the enemy)... they need armour for archery duels if they need any upgrade.

Sword/Milita... They are to chomp through the enemy... you either go sword and morale or my preference is armour and morale... armour allows them to ignore arrows and get closer to the enemy... while a sword bonus sans armour is good for the desert.

Playing STW I have tried to see how the various units go by playing purely one type and using upgrades to see which helps. Played pure archer armies with some specialising in armour others in swords and others with morale while have uber elite mix.

Ulitmately in MTW you get a much larger bonus from valour.

Valour = +1 attack, +1 defence and a morale bonus to boot.
A province that gives a bonus to a decent unit is very valuble. Armenian Heavy Cavalry only need minimal facilities to be getting +2 valour.

Generals are the key to getting valour. A half decent 4* General adds +2 Valour. A six star adds +3 valour. So where ever possible nuture your generals up. It is easier and quicker to get a good general then worry about powering up units.

So get quantity (which is a quality all of its own) of a good mix of units and go out and conquer now... tech up later.