Most of us do not have an unlimited decorating budget. First pick the windows in the rooms in which you spend most of your time. Your bedroom might be the best place to start if you are concerned about privacy or light.
If energy costs are a big concern, then start with the room that has the largest expanse of windows and, therefore, the largest area for temperature control. If you have a window with a great view, look for vertical blinds that can help limit some of the light coming in, but still give you the view you paid for and enjoy.