Reflex saves are usually the least painful to fail, though if your DM has lots of traps played by normal CR that might not be the case (have you SEEN some of the low level traps? They're one shot TKOs that are almost impossible to dodge). But they're also decently easy to immunize against... there's some boots in Dungeonscape, for example, that let you take a 5' step every time you'd normally make a reflex save, and if that gets you to safety you don't have to make the save at all. Great for dodging traps and AoEs, and if there's some cover to get behind it might help a lot even from single target effects (remember with enough cover you get Improved Evasion free!).
Fort saves have save or dies... hard not to hate those. But at the same time, most of the actual kill effects are death effects, so if you can get immunity to that you're mostly okay. Poison can be annoying if it hits you, but few monsters actually have that and that's even easier to become immune to. Of course, simply being a Necropolitan (dare I say it!) makes you immune to virtually all of the serious nasty fort save stuff (except disintegrate). Fort saves are often easier to optimize in general as you wanted Con no matter what your build was. Also, don't forget there's a low level Diamond Mind maneuver that can virtually guarantee you one successful fort save per encounter... and it's available via a 3k ring.
Will save has stuff like Dominate Monster that not only screws you, it screws everyone else too. LOTS of will stuff will take you out of the fight completely or worse, which can lead to a TPK... and remember, no one's going to resurrect you if the whole party dies. A lot of it is Mind Effecting, but not all of it. And since many classes would like to dump Wis, it's harder to raise than Fort or Reflex. Again, being Necropolitan would help here to deal with all the Mind Effecting stuff (unless you're high enough level to just cast Mind Blank). Another silly way to deal with it is to have a party member rebuke Ghostly Visages and give them to the rest of the party, thus giving everyone undead like immunity without forcing them to actually be undead. But you have to find a way to get those first (I consider it my duty when playing a Dread Necromancer). And don't forget Moment of Perfect Mind... a 3k ring (the same as before) grants you one passed Will save per encounter, which may be all you need depending on how fast your party kills things.
So in general, I'd prioritize Reflex last, Fort next, and Will first, but I'd work on death effect immunity and mind effecting immunity as fast as possible regardless.
JaronK