SoO is usually target number one. I like to play Zeus, so if I'm up against Ra or Isis then I'll save my bolt whatever... even if it isn't sometimes tactically sound, it's so satisfying to nuke that bird-head - ZAP!
The same would apply to Loki's Niddhog, but the bolt is too useful against the inevitable early rush, and if you beat that then Loki's not so much of a challenge anyway. So the initial Eindherjar is a compelling target (but less psychological - although the opponent will feel the loss badly).
As others have said, seige needs to be taken care of pronto - but as villies get a bonus, you can often leave it to "the people".
Ooh - any insta-kill myth, such as medusas, mummies or lampades are high priority targets if you're playing a game with "heavy guns" such as heffalumps or top-end myth units rather than a broad army.
I've done a lot of things that I'm not proud of.
And the things that I am proud of are disgusting.