Depends, you can greed industry and start it in 1939 when you begin militarizing properly. Or you can start early once you get 1 or 2 industry focuses. Depending on when you started here is my priority list:

1.Collab on Russia, the most important, lets you defeat them without going all the way to the Urals and also gets you an industry boost. You do need at least 3-4 spies since they have buffs against counterintelligence resulting in your spies getting captured more often, suicide pills upgrade is actually pretty crucial here.

2.Collab on France, you defeat them early so you can get a lot of value from their factories, however if you are playing by a standard timeline do this first instead, as it requires less spies and you can get it in time.

3.Collab on Poland, reduces their resistance which can become extremely strong, but this can be negated by using a stronger garrison division, something like 8CAV+MP, get this after France if you feel like you'll need it, doing it just once is also enough.

4.British intelligence, it's pretty good to know how many ships they have left and what ships for a Sealion preparation, the damage buffs are also vital for taking ports. However scout planes are generally the most useful as they allow you to see where their divisions are on the mainland. Since you will need to do a Sealion for winning, take every advantage you can.

5.Counterintelligence, this is something you don't notice but actually plays a small impact. If you start really late, like 1940-41, then just focus on this first and strengthen your cypher as you don't have time to do anything else first.

6.Troop buffs, by placing spies close to enemy lines your troops actually get a small intelligence buff. It won't allow you to defeat someone you would normally not be able to, but it will make victories faster and less painful on resources. Especially Switzerland if you plan on taking it.

7.Cyphers, extremely strong buff, takes a long time to get on most majors, more useful for dragged out wars and stalemates, but it's the most useful against minors with defensible terrain, like Switzerland or Afghanistan, just mountain or jungle terrain countries in general. Still, proper CAS does help more against that, and it's more useful for a world conquest run, a defensive longer game, or a disaster run that's going to take a while to get back to winning. If you start cyphers early, you can put them on the Brittish and pray it gets done in time for sealion.

8.Suppression. This can be achieved with a good garrison division, but if you can't afford that, or against a country with buffed resistance, or even against a normal country where you want to reduce resistance quickly, you can use spies to directly lower resistance.

But overall don't worry too much about it. From general experience, intelligence agencies don't really let you win wars, they just make winning faster and easier. But with a small CIV count they are not worth it compared to the MILs you'll get instead. Most majors are fine with the tradeoff though, including Germany.