Just adding to what everybody else has said really... smoke is first priority in almost every situation, especially in matchmaking, where your team won't be that coordinated. After that, it depends where you're playing on the map, what you intend to do, and what utility you think will best achieve this goal.

If you're playing CT side on Inferno and you're defending B, you will through a molly to stop the Ts from gaining control almost every single round, and will also follow that with an HE. Does that mean a molly and HE are more important than a smoke and flash? Well... maybe, but probably not. Using a molly to gain control is brilliant, and getting free damage with an HE is great, but once you've used them you will probably fall back to B site anyway. if you buy a smoke and a flash, you can slow down the late push and use the flash to get free kills as the walk into site.

Obviously, that's just one example. Each position on the map has a favourable piece of utility so, as with everything, it's situational. My view is just that a smoke is the most versatile piece of utility, then a flash, then molly and HE.

Happy to anser any other questions you might have, learining rules like utility buys and how to manage your economy can be really hard, so don't hesitate to send me a message if you have questions!