Wheels will be the most effective upgrade by far. A set of wheels with better hubs, stiffer rims etc etc...that'll make more difference than a saddle, seat post or handlebar upgrade.
It depends a bit on what you have, compared to what you're upgrading to...
I'd go
- Wheels
- saddle/post
- handlebars
It might depend on your budget...maybe doing the wheels last might be easier for you, given they'll be the most expensive.