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Food > Public Order > Military = Funds
Food is always going to be your main limiting factor in the early game. Without food, you cannot build an army and, without an army, you cannot expand or defend your territory.
Public Order is next up because you really don't want rebellions popping up when your armies are far away. Build churches and shape your governs appropriately.
Income and Military are about equal priority. In the early game, income will be less of a concern, but as you begin to acquire more and more elite troops, you'll notice that your income doesn't come as easily.
If food, PO, and military is okay, then you are free to upgrade a money generating building.
Seeing as how food was never a problem, I then made sure to build enough public order buildings to keep everything under control. Developing my provinces usually meant upgrading the capital city main building to unlock additional building slots, as opposed to trying to max out the buildings that were already there. I also tried to pay attention to the buildings that give bonuses to adjacent provinces for certain types of wealth generation (use the strategic map wealth overlay to toggle your view of what kinds of wealth are in which provinces).
For governors, Wessex is in a good position to excel. You'll have the ability to build the school building in your capital city, which gives characters bonus experience. Use this to develop a level-1 bard and priest in your governors, to make public order better and them less likely to rebel. Only then did I give them scribe levels (sometimes I skipped priest if their base loyalty was sufficient--I never ever had internal politics problems with Alfred as such a solid leader, and a ton of estates to hand out if ever needed).
My strategy as Wessex was to build up my "Patrol" building chains on my southern coast that was exposed to Viking raids, to allow me to keep my two armies on my northern border. I also made a point to upgrade one of my northern border provinces to be military-ish, by which I mean having a forge and a fist fighter. That's the province my armies sat in getting better while fortified (because of the faction fortification-stance XP bonus) and waiting for wars to start.
I made a point to not start wars, seeing as how I had so many vassals and figured I'd get dragged into a war. I was right. (I made a diplomatic marriage with Mierce, which proved fruitful--spoiler alert: maybe don't go to war with Mierce as Wessexin the single-player campaign.) When war came to me and my vassals, I limited my activities to attacks to conquer land on the border of my territory, even if those attacks were to conquer my former vassal/ally's lands. This strategy worked well for me.