I get many questions from alliance members asking me "what buildings should I work on?". To be honest, it is just personal preference....
I can tell you what I tried to focus on.
Starting out:
I focused on my Town Hall, Academy and Warehouse initially. I worked on this until all of them where around level 5 or 6 (I also had to do the research in the Academy).
Then I began working on my Barracks, Walls, Embassy, Tavern, Ship yard and Trade Port. So I worked to get those to around level five (while also trying to get my Town Hall, Academy and Warehouse built up).
From here I began work on my Hide Out, and Trading Post. I slowly worked on all my buildings from here until all of them were al least level 10.
Once all of them were around level 10, I began building my Museum, Workshop, Wineries and other optional structures.
After all that is started, I spend my focus on the Town Hall, Hide Out, Walls, Barracks and Ship Yard until they were around level 20 (you dont need to build your Ship Yard past level 16, its a waste of resources). I would need to increase my Warehouse (in order to save up resources) and my Tavern (to keep my people happy) as I continued to build.
I did not develop my first colony until the Town Hall in my "Capital" was at level 15. Most people build faster than me, but I usually take my time.
Hope this helps. I continued to build my Hideout as fast as I could and I tried to always keep it one or more levels higher than my Town Hall.
If anyone has any other advice on this topic, please feel free to add some information.