With respect to buiding the quicker buildings first, that depends on a myriad of issues related to the situation you find yourself in. Usually it depends on your goals at the moment. If you need a better army, you can build military structures. If you need a happier populace, you make watchtowers, border forts and churches. If you need money, you build ships and trading posts. If you need to upgrade a certain sort of building but have hit the ceiling for what can be done with a Keep or Castle, you upgrade to the next.

With respect to specialized provinces, I prefer balance. I like my provnces to have more than one use. It helps for when you need to make an army in a hurry or for when your special province is invaded. Leaves a person with options. That's just me though.