A lot of people are giving sincere advice that I think many of us disagree with. Then there's the trolls (although you SHOULD click Albania once, just to get your mind right).
France is the best choice if you're new, but it's not your literal first time clicking into the game or you've played other paradox games extensively. As you've probably read repeatedly, they do everything! They're big enough to let you screw up hard and still be alright. They border the empire, so you learn that mess, without being in/surrounded in it, so you aren't stuck or hamstrung by them either. They can colonize. They require some trade maintenance, especially with aow and your capitol being in a funny node. They start with vassals, which means you both learn about annexing, which is key to being great at the game eventually, and you have them as friends fighting easier wars basically for you - especially useful when you'd like to be helping out allies but it's tedious; they grab their own border agreements and march on over on your behalf. If you play a bunch of france games you will basically familiarize yourself with all the core aspects of the game - there really is no better tutorial country.
If you're REALLY new - maybe someone reading this who has never played before - France is tricky for all of those reasons. You have to "do" a lot of "stuff" to play them. In this case, you should make a choice "colonize or don't colonize" and go castile or ottomans, based on that choice. Castile has the size and ease to let you play with colonizing and trade without a lot of worry, and your position keeps you very safe unless you screw with France. Ottomans are a nice easy intro to conquest, since you have cores on a lot of wimpy neighbors that you have to really try to lose to, and you get a string of missions to help you along as you figure things out. My only reservation for Ottomans would be - make some half decent allies. As long as you aren't isolated or pissing everyone off, I don't believe the mamluks or other Islamic countries will really mess with you, at least for a while. If your allies drag you into wars... great! Learn from them; you have less to lose than a country being directly invaded, and usually little is forcing you to participate if you don't want to.
Sorry to anyone I contradict here, but I very strongly recommend you NOT go:
England - bad monarch points and horrible early events. You lose a war, and then either have an awful leader OR a brutal civil war event. I am baffled that people even suggest this country for a new player - they're EXTREMELY tricky!
Denmark (or Sweden) - The union mechanics are not going to be fun for a new player. Denmark starts with a rebel group, lower stability, lots of expansion but all "tricky" in different ways, and a nasty powerful (lucky) vassal that will fight to be free asap. Sweden... I would just not pick until you know enough to be sure you can at least get free! That said, I consider Denmark really good for when you think you're decent but still have a lot to learn, and want a powerful but tricky (not necessary challenging) start.
Anything IN the HRE - You're gonna have a bad time. The mechanics here are really rough until you know enough to game them.