Are you looking to maximize efficiency?  I mean, lots of players here seem to have fun just building up your kingdom, and then slowly going to war.  At lower difficulty levels, it really doesn't matter.

If you're looking at trying to beat the game on insane/insane though, then yea efficiency matters.  Having done it quite easily on smaller maps (and currently doing it on a huge one),  Here's some information I suppose.

- Everything is indeed beneficial, but on higher difficulty levels, what you're fighting against is essentially time: so the faster you can do things, the better.

So for example, your first city should have as much production as possible, so that it can build things faster.  This city should probably be your production center of units and such (eventually).  Since you're focusing almost exclusively on production, beyond hitting a level 2 town (to become a fort to get bonuses for your military units), you really don't care about food.  So, the ideal settle spot for your first is really a 2 food, 4 material, with essence (initally you can use it to get some research boosts, and then later replace the essence with spells that increase military units attack / initiative / defense).

Your second city, should probably have 4+ food if possible, and 3 production or so.  This way, the growth is rate, so that the growth rate is high (allowing for constant production of new pioneers to settle / create outposts).

Essence is critically important in any settled location.  Essence allows you to get all sorts of benefits from spells (for example, water magic's inspiration lets you get +1 research, when cities naturally only generate 1 - it's ideal for early-game when you barely have any cities, and thus doubling your research like this is a massive boost).

Unrest affects gildar, research, and production of that city.  It doesn't affect any mana generated.  Reducing unrest is important, but if the city isn't really generating much for you in general, unrest is lower priority than actually increasing what it produces.

Finally, it's about the cost of the buildings: the 2nd level buildings tend to cost double the tier 1s in production cost.

As far as mana goes... you generally do need mana, so get mana production up if at all possible.  After all, you can't cast spells without it!

For level 1 cities, focus on basic production structures (workshops, logging camps if you're near a forest) and basic unrest reduction (bell towers, clerics if you have essence). It won't hurt to also build a basic income structure or research structure, but it isn't necessary.

When the city reaches level 2, you can specialize the city as a Town (gold income), Conclave (research), or Fortress (troops and imperial defense). If you choose for your city to become a Town, focus primarily on income structures and food structures. If you choose for your city to become a Conclave, focus on research structures and unrest reduction structures. If you choose for your city to become a Fortress, focus on production structures and unrest reduction structures.

Towns don't really need unrest reduction structures except for speeding construction - gold income is unaffected by the unrest level in a settlement, while research and production are - so for Towns a simple Bell Tower or a Cleric are probably all you'll need in the early game. You can add more advanced unrest reduction structures later, once your empire starts growing larger, or if you decide to build research structures in your Towns. You want your Towns to start producing Wealth once they have a few good income structures up (markets, merchants, tax offices if you have them), although if you have lots of low-grain cities then getting the Grocer line of buildings up fast is a good idea; higher level Towns also have some good bonus structures with faction-wide bonuses, so boosting the local food supply with the Well line and Garden line structures is a good idea. Local production is kind of irrelevant for Towns, although it helps for building the other structures rapidly, and Conclaves are better for research purposes. Also remember that a couple of world wonders (Merchantcross Bazaar and Treasury Vault) can only be built in Towns.

Conclaves should always get the research production buildings (remember that the upgrades to the Herbalist can eventually provide research and production, so don't forget to build that), so the standard research structures and the Sage line of buildings are priorities, and the Herbalist line of structures shouldn't be forgotten if your Conclave has essence or you need mana. Unrest reduction is very important in Conclaves, since the research output of the Conclave is multiplied by (100 - unrest)/100. Food and production are lower priorities, while income generation is better left to Towns since Conclaves can only build Merchants.

Fortresses should always prioritize the unrest reduction structures and the production structures. The special Fortress structures which benefit troops trained at that location are a priority for your primary training fortresses (which should also have high essence - three or four is good, if you can find a tile for it, although two is acceptable; also try to get at least 3 materials on a tile for a troop-producing Fortress). Any other Fortresses can ignore the special troop improvement structures, though if they are placed for map control you should probably prioritize city wall improvements. Food production is a secondary concern for Fortress structures; if you've already built the unrest reduction and production structures, and the troop enhancement or city defense structures, and are not training troops at the moment, build food structures, but otherwise food structures can wait. All other structures can be ignored, though if you don't have anything better to build you might as well build them.

As for balancing between the city types: it has been suggested that for every seven cities you build, four be Towns, two be Conclaves, and one be a Fortress. I would suggest that your first few cities be Towns and Conclaves unless you find a really nice spot for a Fortress early on, or are playing on a small map or against a large number of AI factions. If you haven't found a good fortress location by the time you've run into an AI faction or two, or by the time you've settled your fifth or sixth city, I would strongly consider putting a Fortress on the tile with the highest materials you can find, and building it up for troop training. If you have a choice between a 1/6/0 and a 4/4/0, I would put the Fortress on the 1/6/0, since with a few Towns up you'll probably only need a Garden to reach level 2 on a 1/6/0, and it will produce things 50% faster than the 4/4/0 (possibly even faster than that, since 1/6/0 tiles tend to be found in or near forests, while 4/4/0 tiles can sometimes be found in open plains). If you can get a site with fewer materials but which also has essence, that could also be a good spot, although if it's only one essence it might be better just to use the 1/6/0 site.

When choosing city tiles, also remember to check what strategic resources are nearby - gold mines make great sites for Towns, Wild Wheat resources mean you can choose tiles with only one or two grain but which have better material or essence values than other more fertile tiles in the area without suffering a significant penalty (at least once you've built on the Wild Wheat), Clay Pits mean the same thing for the material count of the city and can additionally make certain sites really good for Fortresses; additionally, things like Wild Game, Elemental Shards, Iron and Crystal Mines, or mount resources can be important for shaping your research and troop strategies. The shape of the map can also be important; I might choose to forgo a 4/4/0 in favor of a 3/2/0 if the 3/2/0 can block a pass in a mountain chain or cut off a peninsula, and places where forests and rivers come within a tile of one another can allow cities to construct both the Pier line and the Logging Camp line of buildings, both of which are fairly useful. Remember to look around the area where you are placing a city to make sure that you won't be releasing monsters you can't deal with (preferably, you'd wipe out the monsters in the area before settling, but that isn't strictly necessary) and that you aren't giving up really great city locations for no good reason. Don't settle a spot as soon as you find it just because it's settleable; scout around so you know what's on the tiles six or seven moves away (or even further) in all directions, then decide on a spot, unless it's a race between your pioneers and AI pioneers to get the area.

I concur with Wraithstalke; early on, Gold and Research should be your top priorities. That means usually your first city is either  a Conclave or town depending on your starting location. Usually my first city is a Conclave to max out research while my Sovereign and his/her troops scout around killing easy monsters and looking for suitable locations for cities.

Champion recruiting: Usually your first champion will be recruited for combat prowess to aid in clearing out monster lairs and completing quests.

However do not overlook the value of a good administrator; a champion with such skills can do wonders for your realm. A good administrator can help new cities get up and running much quicker by reducing unrest. Also, anyone with Loremaster or Merchant skills can be a help, especially in the early game.

Research; the main research priority will be in the Civilization tree to help get your realm up and running. Magic research should only be done early if you get any Crystal or magic shard resources early, mainly to enable and max production of these resources. Warfare tech research should depend on when you need to start fielding good trained units or need better equipment for your champions.

Unit design: A lot of this will be dictated by your resources. If you have sufficient metal, go ahead and design armored units; keep in mind however, that resources are finite so you want to use only what you actually need. When I get Chainmail, for example, My armored units usually only use mail on the chest and legs while the rest of the armor is either leather or boots gloves. Why? Because it is in those two areas where the difference in defense is big enough to justify the costs. Also do not underestimate the value of less armored troops. One of my "go-to" mid game units is a leather armored maceman with a warhammer and wooden shield, plus Soldier's boots, designed with the traits Fast and Underdog. Built in a well developed Fortress. these units can take on even the likes of Drakes and Dragons; In one game, I used some of these troops against a big Drake and 5 pack Drakes; the Troops took casualties but slaughtered the Drakes.

Battlefield tactics:

Keep units in mutual supporting distance; do NOT let a unit get surrounded or the swarm bonuses will kill it. Make sure troops are in line so as to prevent units from being isolated by numbers.

Ideally have different types of weapons if possible.

Warhammers and axes work best in the center of your formation. Use Warhammers' crushing ability to smash full health or heavy units, while axes can decimate lines of troops. Spears work best on the flanks where they can use their column attacks to advantage. Swords also work best with room to maneuver.

Concentrate attacks on one unit where possible. You want quick kills.

Spears and swords are IMHO the best Horse Cavalry weapons. Mounted spears can flank and decimate lines with their attacks while swords are ideal for either quick flank attacks on enemy units or attacking support troops like archers and mages.

Speaking of which, protect your support troops; do not let a unit get into your rear.

Pay attention to terrain, especially maps with choke points and narrow passages. Ideally you want heavy armored units holding choke points. Deploy so as to ensure numerical superiority at the point of attack. 

Try to move so where possible you can get in the first strike.

Ranged units' first priority is opposing ranged units, then weakened troops where possible.

If you expect to encounter magicians, have a champion with a counterspell where possible.

SPOILER:

That's the imperium and to clear it you settle a city in those lands.

Where do I find how much production I have "Stored" away? I see my production /per turn but I don't see my totals.

Ah ha.  For example a Slave Militia cost 108 production, yet I only produce 25.0.  Therefore it takes 5 turns.  I knew I read that it didn't store but the production cost threw me off.

When you click on a monster, you will always see their category at the top: Beasts, Twisted, etc.

If you eliminate a faction, it is gone forever. If they surrender, however, you will take charge of their Sovereign, including any equipment they may have. Getting them to surrender can be difficult, though.

Yes, it is normal to see the same quest multiple times. However, if you finish the Arena quest, all Arenas should disappear.

On occasion, it is possible to settle a city close enough to the settleable area within the Imperium that you cannot build a city there to complete the quest. The settleable area is inside the inner ring of walls, so check to see if there are cities of yours or of an AI faction close to that area. If so, take them and raze them, and you should be able to complete the quest.

Based on the OP I'd say the designers did a decent job. 

The idea is that you build your empire the way YOU want to so there's lots of choices and shouldn't be a clear path to use by default.

Outside of doing what you want you obviously need to react to the circumstances of any given match and there are some basics that apply to the genre as a whole, such as production is always a good thing (build faster) and money is always a good thing (build economy).  In games like this you need to build some kind of army before too long or all the stuff you build will be taken away (by an AI or in this game possibly by roaming monsters).

But again, there's a lot of stuff you're going to want and need and a lot of it is going to depend on map, starting position, proximity of enemies, resources available.

Even if someone says they always have THIS exact build order they don't stick to it 100% of the time because you can easily have something occur, like early aggression against you, that throws it all out the window.

Experiment and figure out what works for you - that's what people did that are giving advice - and it's part of the beauty of this genre.