That is a situational question.  Sometimes you want to override the automated target selection for some of your ships.  Other times there is a capital ship attempting to flee, and you absolutely want to kill it before it can phase jump away.  Other times there is a particular support ship or key orbital structure that you want to remove first.  Shield mitigation might matter too. 

There are some situations I always focus fire. Kill the enemy siege and anti-module (torpedos). If it is a fully upgraded planet, dont let it fall. Starbases can go pretty quick if the anti-modules are left unchecked. Protect your expensive investments.

Carriers are deadly, constantly pumping out strikecraft and the repair ships can keep a cap ship alive indefinatly. Distroying even a few of these can help greatly.

The enemy fleet might have multiple weekend ships. Hold SHIFT and select these in the order you want them distroyed. Don't leave a ship with low hitpoints to shoot at you through the entire battle. Watch you Dont turn the hole fleet to deal with 1 ship behind you.