Playing against the AI, I prioritise militia buildings. If I am playing Assembly this is brilliant as it basically boosts my research for free.
My 2nd and 3rd cities are typically bought with influence.
My 4th and 5th I build.
The rest I capture, typically.
Depends on what you want the hero to do.
I tend to have one hero be basically a heal-bot, who’ll be in the APC. I usually start my commander in an APC, because that unlocks it for all heroes. My leader starts as a heal-bot usually, then trades in the APC for either sniping (if I pick up a sexy rifle, or I am Assembly, Dvar or Vanguard and can research the range upgrade) or something else juicy.
Other than that, I tend to specialise the hero in whatevr they are when theya rrive. So if they are a melee hero when I recruit them, I keep them melee etc.
Only exception is the Dvar that shows up with a 5 range ram gun or mortar or whatever that is. I swap that straight out.
Also, depending on race (e.g. not a good strategy with Shakarn, but a decent one with Vanguard) I will put one hero into a flier and have an all flying stack, that can cover a lot of ground very quickly. Typically this stack doesn’t have a huge amount of punching power, but by the time I have 5 fliers and a flying hero, I also have a decent amount of tactical operations, so it works well for blunting invasions, or even just distracting the AI. On occasion you can even grab a not well defended city :).