Really enjoying the game, if a little overwhelmed still. Seems like there are so many things that need to be upgraded, it gets a little confusing. Is there a set of upgrades I should focus on first, and do the blue side missions just pay out money?
You can see what blue missions will give you just from the map (hover over icon and press X).
Quite a good number of them give you specific customization items, which makes them individually worth playing even once you've purchased everything you wanted, so that's good.
Also, I don't think there is much to be upgraded. Just focus on buying new, fun weapons that you'd like to try, the rest will neatly fall into place as you play.
Weapons will upgrade themselves, and basically that means weapons get better with time. Aside from unlocking Amp Slot at level 2, there isn't much you need to pay attention to.
For amps, you'll get the most "important" ones through main story quests, so don't worry about them either. Then it's more a question of how much you want to mix & match amps and weapons to try out combinations.
Same for badges/overdrives. Some of them can be pretty potent so it's good to take a look at what you can afford every once in a while, but you'll get badges just by playing, so again no need to worry about / overthink it.
I think the cleverness in the character building of this game is that it's quite deep if you get into it, but you can also not give a crap about it and still enjoy the core game, just buying new weapons and getting better at the game yourself.