In the beginning it is usually a bit of a scramble but once I have established a base of provinces I start one going after knights, swords, spears, archers, ships and sometimes siege but I usually just buy them (mercs). Overlapping is ok too; a province that can build a variety of units is handy.

Whenever I have a break in building the main focus (need a castle upgrade and don’t have that much $), especially spears or any units that have poor moral, I throw in a religious building for the moral boost. Armor too. Or once I reach the top I go back and armor and church up.

Later It depends on what lands I conquer and how many fronts I have.

Usually in a conquered land if I am just a building or 2 away from being able to make a cool unit I build up to that level, if $ allows. Weather I need the units or not. I just like to have them available.

When I am doing well I build just about anything but especially farms and trade buildings to get $ and those great builder, steward, trader virtues for King and Governors.