Depends on whether you want to play more defensively or more offensively, and how much npc farming you do. For me, it's in this order:

1. Rally Spot (absolutely necessary, actually)
2. Walls
3. Feasting Hall
4. Townhall (if you want those extra resources)

Without a Lv10 rally, you can't send more than 90k troops in 1 march without using a war ensign.

The Lv10 walls are also imperative for defense, since they give more Fortification slots and boost your defending archers' range.

With a Lv10 Feast Hall you can have 10 heroes... if 1 hero is always the mayor that's 9 farming raids you can send out simultaneously or 9 attack waves at an enemy target, and with that Lv10 Rally Spot you still have 1 available slot for sending a transport to another city or ally.

If it were me, I'd do Lv10 Rally Spots in all my cities first, then do Walls and Feast hall in one city, then the next, etc.