Personally, it depends on which mod do I play with, but I prefer mediocore nations, but more likely the ones that have rising potential.
In DH WWI scenario I usually play AH, Ottoman, sometimes Belgium and Italy. (In AAR Yunnan clique is my favourite.) I'm also planning to play with Japan, but I'm a rather afraid from naval countries (long time builds and fast sunk ships problem...). In multiplayer we usually play CP (Entente is quite boring with the OP winning).
In WWII I prefer Hungary, Manchukou, in the later scenarios I also play Free France. In multiplayer I tend to play as Italy.
In Byzantium it's the Roman Empire of course
However, KR is quite different than DH. In DH most countries are preset, while in KR nations rise and fall in a very short amount of time. I like starting small, and building up an empire, since I don't have to start with a preset amount/type of units, I can build those, and will know why I built which one, and can more easily build my tactics around them, rather than receiving a lots of units in the beginning, and forgot them in halfway. These include Austria, Qing Empire, Shangqing Tiangou, Russia, National France.