Depends on what you want. I personally would build the temple 1st to get your god selected. Then you can collect favor while building your next choice.
If it's your first city you need to decide if you want to focus on naval or ground troops. If it's naval, get the harbor going now and you can focus on that in your academy.
You don't need the market much until you want to move resources. You'll want a higher level when you get multiple cities.