I can't speak for all play-throughs, but generally in feudal, you want to focus on gold income buildings in the demesne you control. Castle towns should be your focus. For now, avoid constructing buildings on vassal demesne, as they'll take a cut of the profits. Only work buildings up to level-2, as going from level-2 to level-3 isn't as cost effective. Gold income buildings become even more valuable in earlier starting dates, as obviously the more you play, the more you earn, whereas with military you have a hard cap based on your martial score, military buildings, and other factors.
Constructing holdings early on is too expensive, so it's generally wiser to seize new holdings rather than build new ones early on. Plus, even if you build a new holding, you'll then have to build additional buildings within it to see a return on your investment. You may also consider stealing a vassal's demesne by either finding a way to inherit it, or if you're their liege then revoke the title. They'll get pissed, but they'll forgive you eventually, lulz.
