As a soldier, I usually pack either The Original or the Direct Hit, Buff Banner, and either the stock shovel or the Escape Plan depending on whether a tank is coming the next wave. First thing I do is try to max out buff banner duration and rocket launcher damage, so I can refill banner energy faster and have it last longer. Then I usually go for rate of fire and reload speed upgrades.
As a Pyro, I usually do Phlog, shotgun and the regular fire axe. Max out Phlogistinator's damage, ammo capacity, and try to upgrade the Health on Kill stat too. When I feel like I've upgraded those enough, I go for movement speed and afterburn damage. The Pyro becomes a walking WMD with this, I've experienced.