whatever else you do, dont start as an king or something. you really really dont want to deal with factions right of the bat - your first game should be a game where you dont focus on winning too much, but more on getting stuff in your head. its simply sooooooo much easier if you understand what a vassel is, how a duke looks and what a casus belli is. feel free to ask on the forums if youre stuck on something.
as for where to start, ireland is always good as long as it isnt 867. ireland is generally shielded from the more wacky stuff, and uniting the isles after a while is always a nice feeling. stay away with a 10 feet pole from the large religious borders(spain, pagans, steppes). while theyre certainly Intresting, its easy to screw up and lose quite a bit of land or lose all your titles. tot tier lieges have it hard as well as the historical setting tends to have them in an rather weak position. especially france and hungary tend to get in civil wars very often.
if you think you get the interface and the base of the game, an german count is often a good optioin. it really teaches you the marriage and claim game, and how vassels work, which helps manage your own vassels. once youre decently large, you can often even become emperor without too much trouble. if you want to learn how to time wars, win them , and use your allies, spain as leon or castille is always a good option, but beware that it might turn out very wacky if youre lucky/unlucky depending on which way it gets wacky. soemtimes navarra steamrolls half spain, and you can ally and try and uinherit them. sometimes the muslims unite under mauritania, and then youre screwed.
dont let me stop you from doing a starting you like, but i highly advise to do at least some form of these starts, as they are really good at teaching the basics - interface, the diplo game and the war game.