If I see this upgrade early on, I go for it immediately. You can seemingly stack this upgrade a bit, although I'm not sure how many times. 3 seems to be about the maximum I want to be at. It will allow you to get through difficult areas a lot easier and it will help to reduce your TNT usage or need to dig.

Either of these are really good to go for. More Grip can be extremely helpful on deadly descents, allowing you more time to dodge all the things trying to kill you. Increased View Distance is very useful because it allows you to get a larger view of the area around you. This really helps you to plan out the direction you want to go and see what's ahead.

If you don't have much life or die a lot, More Life Items is a great upgrade to get as it scatters a bunch more +Life Hearts throughout the levels. 3 Max Life and 3 Life is a no brainer, simply ups your life count and gives you 3 life. Improving Your Compass can be extremely helpful on larger levels, usually levels 20 and up. It's easy to get lost on larger levels when your compass arrow is non existent.

5 Lives, another no brainer. However, I typically won't choose this upgrade unless it's going to give me all 5 lives without going over my max life limit. More Checkpoints is pretty handy if you're dying a lot, much more handy in the harder levels. TNT Resistance is a great choice if you find yourself clumsy with the TNT like me. I use a gamepad and constantly double tap the bumper which triggers throwing TNT, it usually leads to blowing myself up. Having a Larger Item Attraction range is pretty handy and can help you to get to those handy items throughout the level without having to be very close to them. On really difficult levels or the one's that have difficult areas you get stuck and die a lot on, is when I go for Longer Spawn Protection. Very handy if you've triggered a checkpoint in a really dangerous spot. RUUUUNNNNN!!!!

Increasing Throw Power for your TNT further is pretty handy on more difficult levels, specially if you need to hit a really dangerous killing mechanism obstacle at a distance. Personally I try not to use my TNT as much as I can. If I find I am running low and needing it on the harder levels, I'll go for the More TNT Items upgrade.

No Damage From Falling Walls is on the bottom of my list because I've only died once from a falling wall. The amount of time and notice given that a wall is going to fall is plenty of time to get out of the way. Being able to do More Damage to Dirt can be a pro and a con. Helpful in speeding up digging if you're doing a lot of digging. Not so helpful on those difficult to get to areas on levels, like the single floating dirt blocks or areas that require you to jump up high. It will basically cause the dirt blocks to degrade faster. Higher Acceleration can be handy for long sprinting into long jumps or getting some good speed to start jumping up a high wall. It can also be handy for speed runs and running quickly through difficult spots, specially combined with Longer Spawn Protection. I tend not to choose More TNT Damage because of my aforementioned little use of TNT in general. Explode On Impact TNT is pretty handy for taking out the side scrolling robots that explode when you get near them. Otherwise I've not found a whole lot of use for the need of explosion on impact.

As you progress further into the levels, some of the information above may not be as relevant.
By the time you reach these higher levels you will have some upgrades built up and you're going to want to choose your new upgrades according to what you already have and what you need.

Again, life is still a no brainer. Having more chances to get through a level is a priority unless you're maxed out on life and doing fine. Increasing your max life can be pretty important for these later levels as you'll likely be getting many more items spawning throughout the level.

More damage ot dirt can be very handy in many circumstances in the later levels when you find yourself out of TNT and just cannot get passed a specific difficult spot. Digging your way through may be the only way to make it through alive. One thing to keep in mind while tunneling, is that occasionally large dirt balls can spawn and roll over you, killing you. A good tip is to dig until you see the dirt block starting to break up on it's own and then stand back a little.

More checkpoints, longer spawn protection and more life items are very very helpfup in these levels.

Good luck!