A M.A.X. Commander who has just landed on a planet has two immediate goals: Build a successful colony and defend the colony. The opposition is likely to find you early, and you have to be ready to defend your colonists -- but it's pointless to build up your defenses if you have no colonists to defend. The classic tactic is to put your constructor to work on a Light Vehicle plant while the Engineer works on storage units for the mining station and connectors between the plant and the mine. Extra constructors (which generally don't have supplies at the start of a game) need to be put to work on the habitats and other colonial buildings (eco-spheres, training halls, habitats, and research centers).
Extra engineers can set up some fixed defenses, like anti-air, radar, and missile installations. Early on, you also need a heavy unit plant to build the major fighting vehicles, and an air unit factory. Eventually, you'll want to build depots, hangars, and -- where appropriate -- shipyards and docks; they're all necessary, except in special circumstances.
Once you have these facilities working, you're left to decide which units to build in them. Early on, scouts are always useful. Extra surveyors can be good if there is a lot of land to check for vital resources. Engineers and supply trucks will always find work, too. If you get into a fight early on, bulldozers should be built as soon as possible to take advantage of the debris; sometimes the debris you salvage can keep a colony alive until the second and third mining stations are up and running.
Which air units to build is always a good question. Air units are fragile; anti-air units are very powerful. Sometimes, the best airborne investments are air transports that can haul your units around the map and drop them in out-of-the-way places for unexpected attacks on the enemy. An AWACS plane is an excellent investment, especially if protected by a flock of fighters. Upgrading the scan of an AWACS might be very important in the later stages of a game; it'll protect it from being brought down by anti-air units with extended range. And ground attack planes can be devastating.
Since airplanes never have to land except to rearm and be repaired, they're best used at the fringes of a conflict, taking out enemy constructors and engineers, moving columns without fighter support, and wayward surveyors and scouts. They don't have a lot of use in straight conflict, unless the enemy has somehow been deprived of anti-air units through an active ground offense or gunboat bombardment. In such cases, they can range throughout the enemy position and destroy his strategic facilities. Ground attack planes with upgraded range are probably the best answer to the anti-air problem. Anti-air is often only as good as its supporting radar; take out enemy radar, and your ground attack planes have a longer lifetime on a battlefield.