Personally I think building up resources at first is key; farms, quarries, iron mines, lumberjacks; clay pits. Keep the levels at the same level for a while as a level 2 farm doesn't give a significant advantage over upgrading a level 0 farm to level 1 - but costs more resources.
When they get to about level 4 then the jumps in levels start making a significant difference - but equally cost more; so it may be worth leveling one over others a couple levels and then bring the others up one by one.
One important thing to bear in mind - is to also upgrade your storehouse! It determines the maximum number of resources your town can hold; as these build up while you are asleep - you don't want them to cap out and your production to be wasted...
Edited by rescendent - 09 Mar 2010 at 02:48