Well I'm mostly a MP guy
, so I take care of expanding rather TOWARDS the other players, and when possible I "secure" a indy region by taking a line of provinces preventing other players from attacking the "interior" indies directly (stg like a "backyard" for safe future expansion).
As for which province to take I rather go for easiest first (except if it's a very poor province), as in MP early losses can soon become crippling.
Obviously a spiraling attack sequence is somewhat to look for (easy reinforcements).