I'd do the following order:
Track days / Rallying
Auto-X will help you learn the limits of your car as well as yourself, and also how to handle your car on pavement (easiest to regain control IMO).
After you get used to your car on pavement, Rally-X would be good to allow you to learn the limits of your car and yourself on dirt, gravel, etc.
Then start looking at different road courses and rally events once you have the basics.