If you prefer a slow turtle and "maybe" get a few kills then invest in shield, but I say that it's not worth of, with 2-5 levels (4HP) gives you only 30 extra shield, while level 1 itself is already 30, which is enough to counter BB.
I like to rush in with keg and rpg, take em down with Stewart's shotty, eating nades in the progress is awesome, gives you some hps back, remember it also eats tank shells, tt's and other rpg's too, so basically anything that's not bullets can be eaten for hps. But again, this ability needs no more than 1 HP as well, the % that increases and reload time is minimal, with 4HP you'll only gain 5 seconds reload time and % is very small, like 4-5% additional of total health.
I think everyone should try out different ways and decide what fits them best, but I suggest Leg, Keg and 1 IEG at beginning. Frenzy fire is prety much useless, it just cancels other effects and the accuracy bonus(or the 1-2 extra dmg if your mad enough to waste 5 HP) isn't worth it.