Why not all on the rail network? It would provide a major boost to the economy and massively increase military flexibility, as IOTL the Turkish army performed very well when operating in the one area that had an adequate rail network, the area around Istanbul (Gallipoli), suggesting that upgrading their military wouldn't have been as necessary, especially as much of that money would flow out of the country when the Ottomans want to be building up domestic industry, which first needs a modern, adequate rail system.
Next upgrade domestic mining and exploit other natural resources, of which Turkey is better off then Austria-Hungary IIRC. Plus they can spend more on creating better irrigation systems for their agriculture and exploit domestic water sources better. Electrical infrastructure would be huge too. Honestly 1914 Russia is a prime example of how spending on infrastructure and some military items can modernize the economy. Oil will provide the means instead of foreign loans, though the Berlin-Baghdad rail line won't hurt. Pipeline infrastructure building will undoubtedly help as well. Modern Turkey is self-sufficient in food, so it seems that investments there can bear fruit, pardon the pun.
http://en.wikipedia.org/wiki/Economy_of_Turkey#Natural_resources
After that it wouldn't hurt to build up domestic ship building so that they can have those jobs to boost the economy and keep money spent in the internal economy AND have a merchant marine and tankers without having to purchase them abroad. Eventually they will gain experience and they can start building warship domestically with German and/or British help.
Modern Turkey is a good example:
http://en.wikipedia.org/wiki/Atatürk_Dam
Dam building will be important in the 1930s too IMHO as potential for economic expansion in electrical production, as the technology was there.
http://en.wikipedia.org/wiki/Economy_of_the_Ottoman_Empire#Agriculture
The Ottomans would seriously benefit from improving public health to boost the population and take advantage of their land and produce enough labor for economic growth and soldiers for the military. Obviously investments in primary schooling and agricultural schools would pay off within a generation or two. Frankly they should focus on the core Turkish territories first, building up a rail infrastructure, improving public health and education, and industrializing so as to boost their control of the underdeveloped imperial territories, which can then be focused on once the core economy was developed. In the mean time investments in oil production, refinement, and transport could be boosted as the only part of investment in non-Turkish territories until the Metropole is sufficiently invested in.