End game line up

Starting out:
The first thing to do is to decide what type you'll set up your free Commander for, since it will affect how you develop. Cavalry is probably the more popular option, but archer also has plenty of proponents, either choice is viable.
First general - Pacorus, super cheap but actually very good. After that start focusing on generals from the list below.

Endgame lineup - must have:
Infantry - Pompey, Vercingetorix. Vercy is eventually better but Pompey is easier to use early.
Cavalry - Belisarius, Huo
Archer - Mithridates, Octavian

Beyond that there may be some different opinions, my preferences with cavalry commander:
Infantry - Bato
Cavalry - Arminius
Archer - Drusus
My full Arena lineup also includes Phraates and Pacorus, but at that point it makes little difference.

Regarding admirals. There are no naval battles for a while, and none at the end so your endgame lineup doesn't include an admiral, but you'll probably want one around chapter 12. You can find plenty of discussion around Agrippa vs Cleopatra. My take: there's not a lot between them, both get the job done, so choose based on their secondary type. Cleopatra is an OK archer, Agrippa quite a solid infantry general, just pick whatever you need more. There's also Aetius, who has the great advantage of being free, but you have to get pretty far into Hero Legend to unlock him and I, at least didn't get that far before I needed an admiral.

Is Hasdrubal really worth it? Never tried him, but he's a mediocre general and elephants are expensive. Never seemed worthwhile investing in them unless you have Hannibal.

Yes, three unit types plus navy. For Epic War (the final and hardest stage) you have 8 or 9 general slots, which for me means Drusus and/or Bato get left out. But you'll want at least three and possibly more during the campaign, especially for Decisive Battles, which are a great way to harvest medals as well as occasionally having other rewards. This is where Agrippa/Cleopatra can really be useful on their secondary types.

Skills for your Commander: Cavalry Commander and Assault are must have. By the endgame you should also have Ambush on Ten Sides and either Guerilla or a damage-dealing skill (I went for Guerilla for durability, +20 damage just isn't that much). But AOTS is expensive and I don't think you can get badges for it, apart from purchasing with medals. You don't need March once you're fully upgraded and have elite armor, but it can help early. There's a case for giving him March and Guerilla, and replacing March later.

Regarding prioritizing generals vs equipment, I don't have definite advice, I personally didn't spend much on equipment until I had a few good generals. I'd definitely prioritize unlocking generals over upgrading skills. There's an excellent pinned thread about equipment.

As with any ET game, my approach regarding upgrading is "wait and see". You can always upgrade later, but you can't get back the resources you've spent. So as long as my generals are getting the job done, I'm hesitant to spend on upgrades at first. As you play more, you get more of a feel for the game, you have a better idea both of what you need to upgrade right now and of what's worth spending on.