I think it depends a lot on how you intend to play.
I tend to prefer the stealth/knock-out way to play, and so Blink and Agility are my two preferred early upgrade routes. An upgraded Blink certainly helps later in the game where some routes out of situations tend to depend on it, and Agility helps you jump higher and run a lot faster to escape out of view. Combined with the Stealth Boots blueprint found later in the game, it certainly helps to stay hidden and make escapes. I only bother with the first level of Possession when aiming for a low-chaos game - mainly to access places stealthily under water as a hag-fish! I found the second level of Possession only dumped me bang into the middle of a fight because the spell didn't last long enough and was very expensive on runes, so that's an upgrade I'll only make later in the game if I need to ride a Tall-Boy to the river or ocean's edge so I can escape unnoticed.
Of course, if playing the high-chaos route, then your upgrade options would more likely make the Rats and Wind powers as a priority.