PvT prioritize armor upgrades. If you combine armor upgrades with the sentry guardian shield ability, you make zealots SO POWERFUL against bio. +1 armor upgrade, with guardian shield, reduces marine damage to 2 per shot. +2 armor upgrade with guardian shield reduces marine damage to 1 damage per shot. Wow. Also, +1 armor upgrade with guardian shield reduces marauder damage from 10 to 6 vs zealots... just get armor upgrades, it scales really well. I get my forge usually before I take my natural.
PvP whatever your style is. Stalker/colossi - get damage upgrade since you will probably be microing a bunch to reduce the damage you take. If you have more zealots and sentries it could be a good idea to get armor upgrades. I don't even really bother with upgrades in this matchup until I am 2 or 3 basing - I'd rather invest that in a tech advantage or tech diversity early on.