Yeah they are exceptions, but still zerglings are dps units, you don't build them becasuse of their survivability, but because of the damage output they have.
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SC1: as Terran, weapons first in every case save when I suspect DT or Lurker rushes, where the +1 armor makes a huge difference.
SC2: I haven't played beta yet, but with many units getting more than 1 damage increase per weapon level, this will always outstrip armor upgrades.
You should always get both, though. I love my upgrades.
As i do it:
-When playing terran damage upgrade always first , completely ignoring all armor upgrades (never researching them)
-When playing protoss damage upgrades first , completely ignoring all hp armor upgrades , and researching shields upgrades when macro gaming.
-When playing zerg , armor first -only if i'm massing roaches with the zerg (90% of my zerg games :p) , else weapon upgrades.
I wonder, as the metagame evolves, whether Protoss strategy will involve getting shields first and abusing the new faster recharge mechanics.
In SC1BW ('cause I'm not in Beta...) I usually play Terran, and I always get armor first for marines (against static defenses it is particularly useful) After the first upgrade, I alternate between attack and armor. Once I get to the factory, and consequently the armory, I get attack first so my tanks can do max damage.
something i tried against the AI was to prioritize shield 'grades and go heavy on my stalkers with semi-early blink: the shield upgrades buy some time to blink back teh front row as they take damage, especialy if you have guardian shield going nearby.
also, once you have those shield upgrades, warping archons & mixing in air units feels a bit more worthwhile. its cool, but i havnt tried it on the ladder yet; i dont play much protoss.
As many have said in the thread, upgrades are quite situational, and most of my decisions regarding upgrades are based on my army composition. You will never use the same upgrade for all of your strategies.
As an example:
I'm harrassing my oponent with reapers, I'll rather go damage and speed upgrade than getting an armor upgrade. Why? because reapers could actually benefit from an armor upgrade but the grade of this benefit is quite low because of the reapers health.
If I'm going for imortals I would rather uprade my shields unless I'm facing ghosts with EMP.
Depends on matchup -
Zealots vs Lings/Roaches - Weapons
Range units in general - Weapons (If you can kill something before it gets to use, thats better then +5 armor)
Roaches vs Marines(Armor) Reasoning: Marines take 3 hits from a roach before dying, regardless if the roach has 0,1,2,3 upgrades BUT getting 1 additional point of armor reduces the damage from a 0/0 marine by 25% (4->3)
You need to study the match ups before you ask a question like that.