It really depends on which faction you're playing. For example, if you're Aragon, the Danes, or the Spanish, then you pretty much have to start conquering land right away. If you're the Egyptians or Almohads, building up your economy and developing your infrastructure is often the better way to go (although the Almos have have excellent army with which to do some early conquering). If you're the Italians, you focus on developing your trade income while maintaining a precarious diplomatic position with France, Hungary, HRE, the Pope, and possibly the Byz. If you're the French or the English, you need to maintain a careful balancing act between your military buildup with your economic development.

And of course if you're the Germans or especially the Byzantines, then you need to focus on everything simultaneously.