In the most cases I prefer to build civilian factories first to make a good snowball efect, but everything depends on with country I'm playing currently. For example:
1. if I'm playing Italy, German Reich, USSR, USA - probably this is my decision, when the war kicks off, so I'm bulding civilian factories for the first at least two years - I will be unstoppable.
2.. If I'm playing UK, France, when I have a tons of civilian factories, bur mutch less the military ones, and involving will be not my choice, I'm starting from buliding mills.
3. Minor countries - in most cases civs, but I like to check, what can I get from my focus tree. For example: via decisions and focuses as Turkey I will get a lot of civs and mills, but no dockyards, and a lot of my enemies are behond the seas. So I'm starting from buliding dockyards.
4. If I'm playing one-state countries with generic focus tree, I'm builiding infrastructure. Generic focus tree is still pretty cool, two, maybe three years ago this was even one of the most OP focus tree in the game, but there is a two annoying focuses, which blocks You from the good one, which gives You two civs, and the second one with free research slot - if You are playing as Cuba or Luxembourg, this buffs are to tempting for waiting.