It depends on what type of conquest it is; if I've just conquered a homeland province, I'll usually build a type 1 government building. Otherwise, I'll slap in a type 3; I've noticed type 3 governments seem to have decent happiness and health bonuses, as well as providing a increase to tradable goods. (In addition, I've noticed some local units can't be trained with a better government; I've forgotten the names already, but the Eleuthoroi town with the Gallic Phalanx units. I put in a type 1; couldn't train them. Scratched that and put in a type 3, was able to train them. Oh well...) Only afterwards will I build roads, markets, temples, etc.

I think at the early phase of the game, it's best to get a type 3, or a type 4 if you're in a real hurry, in first.