Every building provides a boost to some part of your city: resource production, resource storage, troop training and more. Make sure to fill all the empty plots of land in your city with as many buildings as your Palace allows.
When you have them, level them up as soon as possible! Ideally, you should build something all the time, 24/7, to bring your city to it's full glory.
Every Palace upgrade will increase the limit of how many of each building you can have and eventually you can choose what setup of buildings suits your play style. But at the beginning just build everything you can!