Well having no previous Vicky experience, my first game was as the US in the Demo, I played 3 games that way. My first game with the release was Bohemia-Moravia, which I had to "release" from Austria first. It was disappointing so I don't recommend it personally, the fact that I couldn't make any kind of diplomatic interaction due to being stuck as a Satellite with Austria left me with no choice but to be a very isolationist nation. I actually did enjoy the game itself and it was a decent learning experience, but it left me with a very bitter taste in my mouth. My next game was as Colombia, it seemed like it had potential, but I was having trouble keeping money in my Capitalists pockets, I pretty well had one cement factory going through the course of the game and a pretty pathetic railroad system.
I think my next game might be Mexico, I want to try a secondary power, though I was hoping to elevate Columbia to a secondary power.