Assuming you want an approximate WW2 experience.
Germany is probably the easiest country to play since you control the pace of the war and you have a lot of advantages.
UK is a good teacher for the air war & naval. It has to fight to hold Africa. Downside is you have to fight everywhere and you're mostly reactionary - responding to the axis initially and then responding to where the USA decides to invade later.
USA is a safe learning experience but with the downside that by the time you get involved it may be too late.
USSR has possibilities but has one of the weakest focus trees currently.
Italy can be a good learning country as you're not as overpowered as Germany but you also have the options of taking control over your own destiny (as opposed to UK)
If you have the expansion packs then Canada, South Africa or India can be fun if you want to test yourself with much more limited options. Same with countries from Death or Dishonour or the Battle for the Bosporus - with the downside of them being land locked to aggressive countries.
As for more detailed guidance check out:
Beginners Resource Collection! | Paradox Interactive Forums (paradoxplaza.com)
or ask specific questions about things you don't understand in these forums.