3rd, 4thd or 5thed Wheels.
I'd go factory, just becasue they'r easier to buy/sell second hand. And your not likely to pringle road wheels like mtb ones so replacement parts arent so bad an issue (i'd never get factory wheels for an MTB).
Tires and tubes, go for conti GP4000 and conti supersonic (50g) tubes, avoid latex as they'r irepairable and also weigh 50g so pointless.
Bar tape, saddle, roadie SPD's are all good bits to get right.
Chainset and BB will shed the most weight usualy (there are some very very heavy sqr taper shimano OEM BB's out there!)
Then carbon bits, bars, chainset (although lighter and alloy is just as good) and seatpost to dampen vibrations, more an issue on longer rides where your hands start to go numb from the constant buzz.
Then I'd go for the forks, usualy a good bet for shedding half a lb.
Beyond that you break through the £1 per g barrier (i.e. your spending more than £1 to save off each gram) which is the point i'd call it a day!)
Keep the old bits, then when you get the upgrade itch go for a new frame, transfer the new bits over and sell the old one as stock.