First thing I research is bolt rifles, because they're decent up-close weapons that can still take long range shots, I consider them to be assault/battle rifles. Typically I'll end up equiping 2-4 soldiers with them.
After that, it's getting stun rods, and then armour, while I'm waiting for a good mission to capture aliens in, so I can get gas grenades to do easier captures.
After that, I just research whatever I have, I don't use any of the alien tech weapons anyway, except plasma grenades and sometimes plasma blasters(used to use them more when they had the splash blast). The particle beam cannon is nice, but I can't make ammo for it, otherwise I'd use it.
I leave laser for when I absolutely do not have anything else to research. Pathetic stuff currently.