This is really a gaming choice, and there are loads of countries to choose from.
The selecting of key nations is usually done in the forums see iv) for some general tips.
Some countries will be considered off limits for a variety of reasons, here are a few guidelines i can think of:
i) Thou shalt not take MING.
Whilst China seems a tempting nation to play, with all those juicy chinaware provences and nice weak nations to conquer, it is well agreed that Ming is too overpowered and isolated to play in MP. It is almost always reserved for the competetive but not humen AI to play. It serves as a challenging late game opponent for strong human players, but in most players opinions is a flawed human player choice. It can be quite a boring nation to play, you probably will not tech up and it will take forever to move your stability.
ii) Pagan countires are unplayable
In the most recent patch pagan countries such as the native americans have had their already weak power undermined. In SP these nations can be a challenging alternative against AI, but in MP it is going to be virtually impossible to stop players from conquering you.
iii) Do not choose a nation that is already controlled by another player
Countries have often been pre-selected in the forum organizing a game. It does NOT operate on a FIRST-COME FIRST-SERVE basis within the hosting procedure. The host will not start the game until everyone has a unique nation, if you do not have a pre-assigned nation you will need to ask whether a nation is free.
iv) Try to pick a country you will enjoy playing
The great thing about EU3 is the variety of choices of nations. New players should be prepared to take a smaller nation.
With smaller nations there is less to do and whilst you may think it will be vunerable experienced players with larger nations will usually help you out.
There are several nations that are very enriching to play: France, Castille and England are usually the strongest colonial nations to choose. To a lesser degree Portugal and Aragon can be as well. Austria, Poland, Hungary and Lithunia have lots of provences to begin with and could expand in any direction. Venice and Genoa have the potential to be trading powers and to unite Italy, (though smaller italian nations like the papal states, Sicily, Tiscany or Modena are certainly playable). Sweden or Denmark are popular with the large amount of scandenavian players. Novgorad/moscovny could unite Russia and expand. Germanic nations like Brandenburg and Mecklenburg (or even the Tuetinic Order) have possibilities. You of course do not have to be a christian nation. The mamluks and the Ottomans are in the European sphere, are large and so are interesting to play. Qara Konyalu (Persia), Oman, the golden horde, Hejdaz have possibilities. Even further east the Timurads are large enough and major Indian nations such as Rajiputinia or Vijay... are fun if isolated for a time. Even further east players sometimes like to play as Japan, Khmer or Malacca. There is over 30 nations at least, and there are plenty of others.
Again if you are joining a pre-established game you will need to check to see if nations are available or playable.