which cassette?

It says 26 max at the rear, but you can almost certainly go to a 27, Shimano are conservative. They used to say 27 max for Ultegra 6600, but you can run a 28 without probs.

The question is, do you race or ride competitivly? If the answer is no then there's really no reason to upgrade anything, at least until something is broken or worn out. The most important thing to upgrade is your engine and that only comes through training, rest and nutrition.

If you are serious about racing and being as competitive as possible then wheels and tyres are a good thing to look at. A lot of folks have a race wheelset with tubs and a training wheelset with clinchers. Some guys have different wheels for different conditions too - it all gets a bit complicated.

On the other hand, if you've got money burning a hole in your pocket and you fancy some shiny new bike gear there's no shame in that, get wheels if that's what you fancy.

You often find that running a cassette with a couple of extra teeth compared to shimano's spec. will be fine, particuarally if you don't cross-gear. Maybe speak to your LBS about what you can get away with and if there are any risks in operating outside of the spec. but I wouldn't be surprised to learn that a 27t or even 28t works fine.

I'm prepared to be shot down on this if anyone has knowledge of a reason not to do this.

Use the Sheldon Brown Gear calculator seeing what your GI is for them.

I have agonised on this for the last 2 years. I had a 53/39 and 12/27, and really struggled on the hills, on both events and group runs. On the flat or downhill life was great. Have swapped the crank for a full compact (was tempted with the new 52/36) and have not looked back. Generally have a spare cog or 2 on the hills now- which gets used up towards the end of an event. That said, it was not a cheap option (but just cheaper than a new cassette and long cage mech).

If this is your gear set, you may be limited to 26 on the cassette.

The 30 or 32 teeth options usually require a Shimano derailleur with a longer cage.

39x28 will get a decent climber up pretty much anything. If you're a bigger built chap you might struggle to reach a good cadence on this combo on double digit gradients.

To put things in perspective, a 39/28 is generally a pro's lowest gear - at least in current fashion - so providing there aren't any serious climbs around where you live, you might be able to get by without changing the front cogs or the rear dérailleur. Something easier would certainly be a good precaution for anyone not earning six figure sums for riding bikes. A compact (50/34) set at the front would also be another option in taming the gears.

But really, if you're sticking with the full-size front rings, go as easy as you can on the back. Which as someone has said, is going to max out at 28 teeth on a standard derailleur.

If you have to grind to get up hills, my answer would be... a substantially larger cassette! 28 is a popular choice and often the largest cog size that will work with a standard derailleur. With 39x28 you can do a decent bit of climbing - maybe not everything though. 30 or 32 are also available options. You'll need a new chain to go with a new cassette, measured to the right length for the big cog.

What do you have on the back at the moment?