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When first starting out, it's worth picking up some of the basic infantry "core" skills - the ones with passive bonuses like extra armour and shield HP, improved stamina and regen (for sprint duration) are worthwhile. Also fitting skills for a little extra PG and/or CPU on your infantry fittings, though if you're primarily based in a vehicle, these will be less important.
As for the vehicles themselves, I'd recommend NOT skilling into them immediately, and waiting at least a little until you've got the hang of using a Militia HAV before training up to use the more powerful models. They aren't a huge step up until you have a LOT of skill points to invest, and in the current build of the game, there are worries that tanks are a little more powerful than they should be, meaning there will most likely be some (hopefully minor) nerfs coming their way soon.