Im on level 17 and I don't know which is more important to build, the sports..

It is difficult to say which one is the most important, that's really up to personal opinion. But I will explain what each of the buildings are for.

The sports centre: this building is a place where your preteen Sims can go to practice Karate or Ballet. These are two hobbies for preteens. It is similar to the Park in the way that, once it is built, when you click on it from The Town Map you are taken to a different screen where you can control your sim's movements inside the sports centre. It's hard to explain but if you already have the park you will understand. This building is required for some Goals but not many.

The Town Hall: this is simply another workspace, not very interesting. Once you have built it the Politician Job will be unlocked. This building is therefore required for the "make 4 Sims politicians" goal, but no other goal as far as I can remember.

The Swimming centre: like the sports centre this is a special building, where you can get the close up view from The Town Map and interact with your Sims there. There is a pool and 4 Diving boards. When your sim uses them their Hobby will become diving, and there are different diving medals you can unlock. There is also a slide and a kiddie pool for toddlers. This building is required for several Goals.

The competition centre: every day when you click on the competition centre you will see that there is a new competition. There are different types of Competitions, for different Careers and hobbies. For example one day it might be a Diving competition, the next an art competition (for Artist Sims.) The higher level your sim is in it that Hobby/Career the more likely they are to place higher in that competition. There are occasionally competitions for preteen sims as well, in preteen hobbies. As far as I know the competition centre is not required for any Goals.

Supermarket: this is a fairly boring building where you can buy Seeds and Baking ingredients at a slight discount. However it is required for two Goals that I can think of, "buy seeds from a supermarket" and "buy baking ingredients from the supermarket."

So now you know what each of the buildings is, and you can decide for yourself which one to buy. Personally I would recommend the sports centre or the Swimming centre, the swimming centre especially. If you don't have any preteen Sims the sports centre will be useless to you. These buildings (swimming centre especially) are needed for a lot of Goals. And since it is so expensive to skip goals, you probably want to build the building that will help you complete the most goals possible. Anyway, hope you like the building you choose!