Taking the Military ones out will have the most immediate effect on your war
Military Resources are top priority targets. Just one or two of those can needlessly hamper your conquest efforts, even when it seems like it's a foregone conclusion. Those things have to go first.
My focus goes to military starbases & military resources.
Amen, brothers. Those are generally the only things that I go out of my way to destroy before I begin my conquest in earnest. As Norticulus mentioned, taking out morale resources can be also be helpful, especially if you plan on taking a planet intact.
Here's a helpful hint: when you target a resource, bring along a fleet of constructors. After you destroy the enemy starbase, you
can claim the resources.
and use them to your advantage in the conflict. Don't worry too much about the econ or research resource bases- the AI tends to go into 'panic mode' when it gets into a full-scale conflict, and will tank it's economy anyway, just trying to keep up. Research will slow to a crawl also, for the same reason, so there is no point in going out of your way to take them out until you are ready to claim them for your own.
That being said, more often than not I just kill everything I can, whenever I can, just for the fun of it.
Good luck. You ask the right questions; I have little doubt that soon you will be the 'sage', helping along the next generation of players.