Ideological thought and Medicine are usually my first techs, regardless of which nation I play. The former for all those precious plurality (thus research points) raising inventions and medicine for the population growth and life rating.
Political thought is important to get more national focuses, which are valuable to increase the number of clergymen first (to get more research points) and later to boost immigration in low pop states with important resources (like coal.. you can never have enough coal).
When you have some research up and running I usually go for the Philosophy tree to increase the research point gain and then researching all education techs. Biologism is very important because it has an invention that gives 50% education effiency, which is more than all technology leading up to it combined. So being able to research Biologism when 1850 hits is quite important.
The remaining cultural tech schools aren't that important imho. Aesthetics only give prestige and Psychology is only important if you expect to fight many bloody wars (because of the reinforcement bonus), though the last technology in that tree unlocks radio factories.
Organic Chemistry is a must have when 1870 hits, because it makes dye factories available and thus enables you to fuel your fabric and thus regular clothes industry without having to rely on dye imports from British India, which are unreliable to say the least.
Railroads speak for themselves.
From the commerce techs I always get the market functionaliy ones first, because of the diplomatic bonuses and more importantly the mining and farming bonuses, which can make a difference if the industry is still weak and more resources are always nice. Not to mention more diplomacy means bigger sphere of influence.
For naval techs getting ship construction and naval doctrine. The former for the ship unlocks of course and the latter for the ability to build higher level naval bases, which is needed to build more modern ships.
The Vicky2 wiki has some nice tables that show which each of the technologies and inventions unlock and provide.
Link