Now that I have a dozen or so games under my belt with my new DE I have a tentative Target prioritization list. This of course will vary per both your army composition and the enemies, however it is generally the same.
At the beginning of every game I look at my opponents list and create a target priority list based on the general list below. I find that having a basic template allows me to not get caught up in the moment and screw up my prioritization. Once I have my list for that game I do my best to engage in the order I have decided on.
1. Land Raiders - My experience is that any unit that I have that gets assaulted by a character driven assault terminator death star will die. If I get the charge than my chances are greatly improved. So the LR has to go ASAP to allow me the charge.
2. Dreadnoughts - these things can tie my units up for ever in CC and wracks/beastmasters cannot ever beat them. They gotta go down fast.
3. Enemy transports - Need to pry open the tin cans and kill the contents, pretty standard fare here. Of course this priority can change depending on how close my assault units are. Generally first turn this is priority 3. second turn this becomes 1 or 2 on the priority list.
4. Broadsides/long fangs/devastators/ these units will kill one or more raiders per turn guaranteed. I originally had these as my first priority but with cover and going flat out I can usually get my assault units into position before all of my Raiders die. (I will loose some no matter what I do)
5. Enemy Heavies and infantry. Once the cans are open and the primary heavy weapons threats are neutralized it is time to work on the infantry, starting with any heavies.
I know much of this is obvious to most people, however in practice I myself tend to get caught up in the game and forget the priorities. My army performs better when I make a priority list and stick to it.