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What I have
Build the farms out in the open areas away from your city and have trucks deliver grain to a silo attached to a train station, then rail in the crops to the main city to the brewery and food factory. Keep the factories near or in the city, so that you can either bus workers a short distance, or have them walk to the factories. Don't worry about pollution.
Oil is also a good one to start with since it is also automated (but you need electricity), but oil sells for cheap so It's good for balancing a budget if you are importing anything (like food and clothing early in-game), but not really for making huge profits. For that you would need to refine it into fuel and bitumen to export (again, place the refinery near a city or town for easy worker access).
Steel is a great way to earn huge profits, but it's really expensive to start up and takes a long time to build if you are using your own building materials. Selling ore (refined or not) is low-profit, I wouldn't even bother.
the fuel refinery is definitvely a good investment specially if fuel managment enabled, as you need fuel for everything and fuel fetch a good export price. exporting food is also quite profitable, alcohol is probably a bit less profitable but it's good enough. the only con of the refinery and food factory is that you need workers, so you need to build a town with amenities for them.
also getting a construction office at the start is an excellent idea even if only to get the excavator and buldozer for terrain shaping. if you get gravel it also allows you to build gravel roads almost for free, a nice improvement over the mud roads.
finally, power production is an excellent investment, but the coal production chain requires workers, so i'm not sure if it's a good starter.
Definitely start with oil. But don't just pump and export it, build a refinery and sell bitumen and fuel instead. For that you'll be needing one refinery and at least five rigs.
Buy many-many oil trucks and guide them to the nearest large customs house, preferably two to avoid bottlenecks. The dirt roads are free, the distance won't matter much, since you can build your own gas stations on the way and order some of the trucks to drop 20% of the export fuel at them. This way you get your own free gas.
Same thing with the oil refinery - build a truck loading station and connect it with pipes to the refinery, it will help avoid the bottlenecks near the entrance to the plant.
You can of course build train service to the customs house if you have leftover money and manage to figure out how to plan the tracks. It all seemed too much of a hassle to me, so I just export via road.
Don't bother about electricity, just import it. Having your own power plant is too much of a hassle, since it doesn't produce constant output of electricity and is highly dependent on the number of workers present at the station. So screw that.
Then next thing: don't bus the workers to oil refinery, apparently it is either the game is too raw, or my citizens are lethargic, but very few take buses to the plant, even if you link the houses to the one bus station and the plant to the other and make just a single bus route with those two stops with a s..tload of buses serving it. It just won't work.
So just build many high capacity houses and gravel paths from them to the plant instead. Don't forget stores, soccer fields, kindergartens and school and whatnot.
That's it. Your rouble / $ account will do great after that.
OK, I suppose I'll have to decide for myself what direction to go when I try again. I may try setting up an oil refinery first and go from there. That seems to be what more people have said than anything else.
I might also try setting up clothing industry soon. You can buy fabrics abroad into the warehouse located right at the border, then transport it yourself from the warehouse to the factory and then export clothing. From what I've seen, it also offers decent returns.
Refinery is a good start, but it needs 500 people so you can employ around (3 Shifts with 500 people are 1.5k people, with buffering (Illnes and so on 1.6k) 2k grown up there. For a smooth run you need a train to extract the product, its much more cost efficient than trucks and doesnt fill up to much border point.
An Easy and Cheap to maintain industry for the start is cloth. Just build three factories one for the cotton and two for the cloth itselfs. connect em via industry roads and you just need to import crops and chems. The rest is workhours and power. 6.5t jeans give you around 10k bugs that is enough to import basic needs of the pop. Foodstuff and Alcohol is more for internal usage.
Alcohol has a good money comeout 6t food give 1t alcohol. So 140 for food (importet) makes 240 for export. These industries help you getting your basics done.
So if you whant to get workers via bus/train to an workstation its easy done:
Build the stop. Allocate a residential housing for the station, so the workers go there. NOW the bus can grab em and bring em to your industry to work. Auto Assaign is only good for foodwalk industries.
People that say power is inconstant...
A Coalpowerplant has 20 worksslots. So the daylie need is 60 People. (8h a shift 20 per shift 3 shifts) A residential building with 100 Livingspaces alocated to the powerplant will garantuee you around 95% efficiency.
Farms
Only good with farms is they only need vehicles and MUCH space. Downside is that importing cost money, but saves space.
So my first starting city goes normaly for cloth industrie and power. Than i go for the needs of construction (but import the goods, to cheap to import in the beginning). After i handle 2-4 cloth industry complexes i start with foodchains.