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I started with Brazil and then Portugal. I had an harder time with Brazil, the lack of POPs in certain areas and the slow rise to industrialization were some of the issues. But after a few Wars with Paraguay and Uruguay i had everything under control. :)
 
Sweden is my first game this time around, never played it as a first before. It's working out quite well; left alone by neighbours, survived the liberal rebellions, became a great power, allied with Denmark, and formed Scandinavia!

But now Prussia just DoW'd me....:eek:
 
I will second Japan. That's what I chose for my first game and I have civilized the country, got a number of factories up and running, and colonized a couple places. All without any interference from anywhere. Now I am going to war with Korea and doing pretty well. About 1870 now and I have been a great power for quite a while now. I tried going liberal and it's worked well. An enjoyable first game.
 
I can recommend Sardinia-Piedmont. It's a small country so it's easy to manage. You can grab some colonies from Egypt or annex it wholly, I don't recommend meddling with Morocco or Algeria because Spain and France don't like it and will most likely show you who's the boss. After Egypt you'll maybe want to colonize Africa. Forming Italy is hard though if France and/or Austria perform well.
 
Netherlands is working fantastic for me after my US game collapsed from rebels. Everything is moderately easy to manage, but there's still a bit of challenge expanding Dutch East Indies and trying to compete with UK and Russia for great power status.
 
The great powers are all good except for UK which is a bit much to manage and very easy. With 2nd rate powers like Sweden or Sardinia-Piedmont there are good options but you need to be aggressive and develop quickly to reach great power status. Many players have expressed frustration at being caught up in someone else's sphere of influence and then having trouble with trade and diplomacy because of the restrictions of being in another nation's sphere, so these nations may not be the best for learning the ropes.
 
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.