I'd recommend to read the Construction/Facilities FAQ at http://www.grid-iron.org/index.php?page=home&subpage=help for starters.

A lot of guys seem to build in this order:
1) Stadium VIP seats
2) Stadium Exec seats
3) Fitness Center w/upgrades
4) Club Shop w/upgrades
5) Stadium normal seats up to a certain size (Ticket Income 1.000.000 perhaps?)
6) Training Hall w/upgrades
7) Stadium normal seats again up to Division basic attendance
8) Youth Academy

Everything after 2) could probably be debated as far as the order goes.