I would say that the only "direct upgrades" are the Spycicle for Spy, the Sandvich for Heavy, and Crusader's Crossbow+Ubersaw for Medic
Generally better than stock:
Scout:
-Primary: None
-Secondary: Winger or Flying Guillotine
-Melee: Atomizer or Boston Basher
Soldier: for Soldier Melee
-Primary: Cow Mangler 5000, The Direct Hit
-Secondary: None. *Maybe* Buff Banners if you're consistent.
-Melee: Equalizer or Market Garden
Pyro:
-Primary: Phlogistinator (hub only, no airblast hurts in comp)
-Secondary: Scorch Shot or Flare Gun
-Melee: Back Scratcher and Pyrojack
Demoman:
-Primary: Loch-and-Load (iffy, stock is fine)
-Secondary: None
-Melee: Eyelander, Scottsman Skullcutter
Heavy:
-Primary: Natascha and Tomislav
-Secondary: Sandvich and Second Banana (free via contract)
-Melee: Gloves of Running Urgently, Fists of Steel, Killing Gloves of Boxing
Engineer:
-Primary: Frontier Justice, Rescue Ranger
-Secondary: Wrangler
-Melee: All of his melee options are pretty good. The Gunslinger is your best bet for an "upgrade" depending on your playstyle.
Sniper:
Primary: Sydney Sleeper, The Machina, The Huntsman
Secondary: Jarate, Razorback
Melee: Bushwacka (with Jarate only), Tribalman's Shiv
Medic:
Primary: Crusader's Crossbow. Straight upgrade.
Secondary: Quick-Fix, but stock is still arguably the best.
Melee: The Ubersaw. Straight upgrade.
Spy:
Melee: Spycicle. Free escape from his worst matchup.
Secondary: Ambassador if you're good at headshots, L'etranger, Diamondback if you're good at spy stuff. Stock revolver is still great.
Watch: All 3 are good. Dead ringer is good for a change of pace.
This list isn't necessarily a "use this over stock," but more of a "these weapons will cover all playstyles." The only exceptions are Spycicle>Knife almost always, Sandvich>Shotgun because on-demand healing is way better than shotgun, Crusader's Crossbow is far more useful than syringe gun, Ubersaw's benefit far outweighs the downside.