I'm sure things have changed since I left, but here's what I thought between 2014 and 2016.

1. People's Square - Sucked continuously. Seemed like every connection took forever.
2. Nanjing Xi Lu would be second in my case.
3. Jiangsu Lu was my daily connection for a long time. It always seemed to be crowded and a long walk.
4. Longyang Lu is confusing as the signage isn't great and the Maglev sits between the stations for some of the lines. It used to look like you could use the Maglev station as a shortcut but it was never open to do so.
5. Century Avenue isn't bad as it's pretty well signed, it's just always crowded as hell.

As far as Xujiahui is concerned, I didn't connect there much as it was my "home" station. I lived right outside Exit 14. When commuting from Weining Lu home, I would sometime get off at Jiaotong University and walk the couple of blocks home. I'd also walk over to Xiaojiabang Lu if I needed Line 9 heading east.