1. Insulation
2. Heat pump
3. Solar panels (more the better)
Depending on your location, this will be amortized in ~7 years, which is like 14%/year return rate. Excellent investment!
With some added benefits:
- Better climate control (less cold in winter, less hot in summer)
- Charge the car/bike for free
- Some green washing points to brag about ;-)
- increase the value of your house - this is often overlooked and e.g. banks don't necessarily value this enough. But the effect is very real when you sell a house in a tight market.
- Lowering your bills and benefit from tax incentives or even profit from selling energy back to the grid. This is pretty obvious. Not a lot not to like here. Of course you need financing and some rough idea of how long it takes to earn back your money.
- Energy independence is nice to have; especially if you are in a place where local energy suppliers are not that reliable. And even if that isn't the case, the additional safety can be nice.
- Reduce the impact you have on climate. For some people this is the primary motivation and some early adopters paid a steep price for this even.
Depending on your goals, you'd start with different things.