Personally I'd think def but what about y'all?

Attack. 
As Protoss, upgrading Attack is always the best, no matter what race your opponent play.
It is especially important to upgrade Attack +1 quickly when facing Zerg. (Since Zealots will kill Zerglings in 2 hits, instead of 3 without the upgrade etc.)

Attack is what people usually go for first, unless they are doing some interesting upgrade-centric tactic. Shield is something you very rarely see, usually only in long macro games.

Attack. As Protoss, upgrading Attack is always the best, no matter what race your opponent play.It is especially important to upgrade Attack +1 quickly when facing Zerg. (Since Zealots will kill Zerglings in 2 hits, instead of 3 without the upgrade etc.)

@Zyte said: 

Attack. As Protoss, upgrading Attack is always the best, no matter what race your opponent play.It is especially important to upgrade Attack +1 quickly when facing Zerg. (Since Zealots will kill Zerglings in 2 hits, instead of 3 without the upgrade etc.)

Not necessarily.  Armour is far more beneficial against Terran in the early stages than attack until the lategame when high tech, aoe units are out, hence why you see many pros having 1 attack/2-3 armour upgrades in the midgame before getting more attack upgrades and higher tech units.  Armour upgrades negate bio incredibly well, especially for zealots, which when combined with charge make them terrifying against marine/marauder compositions when trapped by forcefields  or confined spaces because the zealots take much longer to die and cause a significantly larger amount of damage.  

You should upgrade attack first against a zerg, that way your zealots 2 hit zerglings. However, against a terran opponent it's better to upgrade defense since your zealots stop being the primary damage dealers and their main reason is to be a meatshield for your stalkers.

Armor vs Terran 
Attack vs Zerg 
 
That's the general rule of thumb I'd say
 
Shield comes after 3/3 most of the time 
I've seen some Protoss players go 1/1/1 upgrades though if they plan on going Archons lateron, but that's probably advanced 
 
 
Most badass way is going double forge and going attack and armor at the same time of course, but that's quite the investment in the early/midgame which makes you quite prone to timing attacks

It depends.

It's all dependant on which race you're facing and what kind of build you're trying to do. What raiz said is the general rule of thumb, because the armor upgrade versus Terran reduces marine damage by alot and the attack upgrade versus Zerg allows your zealots to kill zerglings in 2 hits rather than 3. However, it's not set in stone. If you've got a plan that allows you to use the other upgrade more effectively then there's nothing stopping you from doing so.

My current upgrade scheme (however im only gold lvl):
 
1 Forge 2/0/0 vs Zerg (sentry expand/sentry fake expand)
2 Forge 2/2/0 vs Terran (2-3 base timing push with chargelot/templars/archons)
1 Forge 1/1/0 vs Protoss (Only after initial aggression e.g. 4gate/3gate blink/2gate immortals)

I'm pretty sure it's worth getting shield upgrades instead of armour if your concentrating on blink stalkers in a build. But I think attack still takes priority. 

SHIELDDDD or Air weapons

I only play P when randoming, and I'll usually go for attack first. Or...
 
@Wunder_ said:

SHIELDDDD or Air weapons

I only play P when randoming, and I'll usually go for attack first. Or...
 

@Wunder_

said:

SHIELDDDD or Air weapons

  If I am massing...

how I roll
 
armour vs T
attack vs Z
 and then vs P it depends how you're playing it, if you have alot of zelots, go for attack, if you have alot of stalkers probally best for armour
 
 
I becasue I watch how the pro's do it never bother with sheilds untill I've gotten 3/3 in armour and attack

@imsh_pl said:

You should upgrade attack first against a zerg, that way your zealots 2 hit zerglings. However, against a terran opponent it's better to upgrade defense since your zealots stop being the primary damage dealers and their main reason is to be a meatshield for your stalkers.

Yes, I figured this was the general consensus, too.

@Aus_azn said:

I only play P when randoming, and I'll usually go for attack first. Or...
 

@Wunder_

said:

SHIELDDDD or Air weapons

  If I am massing...

I lost my shit when he sang 'yesterday was Void Rays'.

Armor vs Terran bio 
Attack vs Terran Mech 
Attack vs Zerg 
Attack vs Protoss (even though finding time to fit these in is very hard) 
 
Shield can be quite good if you're archon heavy, but generally don't get it until 3/3.