Which skills should I train first?

Start with the support skills that help every ship you will ever fly: CPU Management, Power Grid Management, Capacitor Management, Capacitor Systems Operation, Navigation, and the core targeting and fitting skills. They make fits work and ships survive longer.

After that, train toward a specific goal, such as one ship and one fit for the activity you enjoy. The in-game skill plans and GFVX's doctrine fits give you clear targets, so you do not spend weeks on skills you never use.