You can upgrade abilities faster than normal (but not as fast as skipping) by spamming spacebar after choosing an ability. (Discovered by WoKaa)

By pressing space on an upgrade screen, you can skip the upgrade AS WELL AS the animation for grabbing the upgrade.

At the moment if you pick up some of the more OP upgrades early on, its almost certainly worth skipping the rest of the upgrades later on. You'll ideally wanna get your hands on Rubber Bullets, Ghost, and Explosive Ammo (Ranked by necessity)