When I think about the feedback that I value as a student, I always see clear questions that will guide me towards a path that will help me better my work. If I value clear, concise and helpful feedback then I can only expect that my students do too. For that reason, I always try to give my students feedback as much as possible. Whether it is feedback on an exit ticket, a warm up or a class activity, I always choose at least one thing in the day to provide feedback.
Sometimes, the feedback can be as simple as a questions asking "what do you mean by this?" which prompts the students to be more detailed with their answers. Other times, feedback can be very detailed and not only ask students for clarifications but also asking questions that will extend the students' thinking of the subject.
However, I do think that we can't always provide feedback for everything that we give to students or even within each activity/document we might not have enough time to do this. For this reason, I think it is smart and also time saving to choose the most 'important' part of the document to provide feedback on. This could be a question that addressed the lesson main idea, the main problem or even a problem that had the most misconceptions during a lesson.