For me, it depends on the situation. If I get an archipelago world or start on an island I'll go for map making asap, to be able to expand when I've used up all my starting space. Most of the time my first goal is iron working and then the wheel. Getting those resources on the map (iron, horses) gives me an idea of how I want to expand and in what direction. But long term in the Ancient Era I go for republic, it gets my economy, tech moving at a fast clip. Now when I decide to play a conquest game I go for iron working and then straight at monarchy, not forgetting warrior code on the way because archers can be very effective offensive units early.
I'm sure others will chime in on this but that's my research path.
"do or do not, there is no try."