What to insulate first? Attic, walls, kneewalls?
Insulating is actually typically the last step in a major whole-house energy efficiency retrofit. If you insulate before you've air-sealed, the air will simply bypass the insulation. If you air-seal without fixing any water leaks or flashing errors, you've created a mold problem. If you air-seal without adding mechanical or passive ventilation, indoor pollutants will rise and combustion appliances may backdraft, potentially poisoning the occupants. And so on.

Step 1: remove or vent indoor combustion appliances that are not sealed and vented. Give a gas range an exhausting range hood and replace sub-90% efficiency water heaters and furnaces that are within the house with sealed combustion versions that pull their combustion air from outside.

Step 2: Fix any roof leaks, window flashing errors, or any other water entry points into the building envelope.

Step 3: Make sure the bath fan works and run it constantly.

Step 4: air-seal as well as you can.

Step 5: insulate.

Step 6: test the air quality for CO2 and the combustion appliances for backdrafting and see if a better ventilation system is needed.

To finally answer your question, once you get to insulating, your biggest bang-for-buck is anywhere you can add insulation where there is none, which would be the walls in this case. If you're not planning to remove the drywall or siding, find a crew to blow dense-packed cellulose into the wall cavities. Make sure it's dense-pack and that they have a track record of success. Don't do blown fiberglass and don't do anything that;s not dense-packed, as it'll settle. If you are planning to remove the drywall, then put mineral wool batts in the walls yourself. If you are planning to remove the siding, then dense-pack the cavities and add 2 inches or more of rigid foam or mineral wool over the sheathing, and use this opportunity to replace the windows or fix any overt flashing errors. If the wall has no water-resistive barrier or if it is deteriorated, replace it with a new layer (tar paper, Tyvek, etc) on the same plane as the windows and integrated with their flanges/flashing.

Attic insulation is often very cost-effective too but it can be substantially more complicated. The attic floor must be airtight. And where you insulate depends on what's in the attic and what it will be used for, if anything. An attic that has mechanical equipment in it, that will be finished, or will be used for storage needs to have spray foam at the roofline or rigid foam under the roofing. And if there's any knob-and-tube wiring where insulation should go, that needs to be replaced first. Otherwise, the attic can have a few feet of loose-blown cellulose or fiberglass piled up on the floor and that'll work very well. This approach is DIY-friendly, too. You need to pay close attention to any chimneys or flues, too. Insulated that isn't specially rated (usually some type of mineral wool) can't be installed touching it, and an air gap may be mandatory. Depends on the chimney or flue.