Hello.

What are the most important units to ugrade?

Hey man. I finished the game several times and i think you should prioritize the following units.

-First Grenadier. This unit is super useful all the way till late game and really needs the upgrades.
-Commando + LAV. Commando will kill most early game units in 1 shot and still does huge amounts of damage late in the campaign. Turn on overwatch and get him as close as possible. LAV is my bread and butter until I get the main tank. I barely use the light tank.
-AA vehicle. Once you get it, Always build a few and spread them out. must have!
-Patrol boat. Main sea unit. attack boats miss allot and have low dmg. Submarine is too late in the campaign and expensive
-Main Tank. Prefer the main tank above the heavy tank. dmg may be lower but it's way more versatile.
-Chopper. OP unit. Can also be used in situation where one would need a submarine. Great for killing outposts.
-Artillery. More versatile than the adv launcher and has splash damage. The Shog outranges it but if you target on the ground near it then you can still kill and outrange it with the splash damage. For outposts use the chopper.

-Grav bike. this is a maybe. The grav bike is mostly a sacrificial unit. It's special ability is that it's really hard to hit just like the suicide bombs of the aliens. Use this unit to empty the overwatch of enemy non-splash turrets and units. Then get close with your LAVs, main tank, or patrol boat. The upgrade gives it more movement points and a bit of armor.

Hope this wil help if you still play the game.

The names vary a bit, I can't recall all of them

=Continent I
o) Grenadier first priority. You dont need the LAV for some missions. This unit is useful for the rest of the game.
o) LAV. It's your long arm, with which you can reach out across the map.
o) Commandos: Optional. Really. Don't need it, but they are useful.
o) Elite Trooper: Same there. Range 8 is pretty good, but damage is too low from continent 3 on.
o) Trooper: What are you even doing man. Body shield and overwatch magnets against clap traps and shalamar warriors.
o) Patrolraft: far too weak to invest research

=Continent II
o) Light Tanks: They are useful for that continent but immediatly obsolete with the appearence of tauron light tanks and the main battle tank. dont upgrade, dont use.
o) AA Truck: mandatory but wait with upgradings, since you dont need them immediatly and they are very very expensive
o) Battleship: useful but optional. even unupgraded you can get through the missions
o) Mainbattle Tank: Optional. I never use them, LAVs are just fine (enough)

=Continent III
o) Heavy Tank: Interesting unit, but of limited use, since the
o) Helicopter: The new LAV and Grenedier and backbone of your army. Shalamar Warriors are the bane of your existance from now on.
o) Grav Bike: Canon Fodder. I never upgrade them, but they are very useful.
o) Rocketartillery: AoE, nice but rather useless at this stage
o) Submarine: main battle unit on water.

=Continent IV
o) Ballistic Artillery: Murder. Highest Priority.