For me, EXP All is first. Just nice to have and nice to not grind.
Next, personally I go for Golden Items as the HM becomes available (for example, no point in getting Golden Wings at the start of the game)
Personally, I don't really care for EV training, but you can get those if you want to EV train. I recommend getting Attack and Special Attack before the defenses though, since HP and Speed are already available.