I'm currently in the middle of a coop denmark campaign teaching my friend to play (He's new), and he chose Denmark. I've mostly been letting him make the decisions like which idea groups to pick, all I'm doing is explaining what things are and helping navigate the interface. Our ideas as of right now are Trade -> Economic -> Exploration -> Quality. Yeah I know economic is a bit redundant probably. But it's literally his first game.
Not having any military ideas until the 4th group was kind of rough, but we've been getting by on having pretty strong allies (France + Poland) and Sweden's OP ideas during our very few wars. Trade has been helpful since we snatched the Lubeck and Hamburg provinces and have a very good grip on Baltic and North Sea trade. Exploration 3rd lined up with when we integrated Norway, but I have no doubt that someone on this forum can get them integrated in time for getting it 2nd (Or, like our plan B, take a piece of Scotland to use as a staging area). If colonization is important to you, that might be the way to go. We anticipated getting a lot of competition since we were so late, but the only real colonizer in our campaign is Great Britain since Iberia is a bit of a mess (Iberian wedding fired, then castile lost the PU somehow and the entire peninsula has been a tug of war ever since). We're probably going to skip religious and humanist since we had a super smooth and powerful reformation (Pretty much the whole HRE except for Austria is protestant or reformed, and it's spread as far as PLC and Tuscany).
Ideas are always variable depending on your situation. If we didn't have an opening to take two very good and expensive HRE provinces back to back without a coalition, Trade ideas might not have been worth it. If Spain had gotten it's shit together, we would have been under more pressure to take Exploration earlier. If our reformation didn't go as buttery-smooth as it had, we would have been under an increased pressure to take Religious or Humanist. And you're always trading one thing for another. My friend likes being very financially secure, so Trade was a good choice for him and we've had basically infinite money since 1500, even though it made our diplo tech lag behind and we had a few scares with Sweden's liberty desire because of it. If instead we were super concerned with keeping our junior partners maximally happy and didn't mind the occasional loan, we would have taken influence over trade. There's no set order, except don't take exploration first, I guess
tl;dr it varies. Just this week I got it 3rd and things are going fine. You can make an argument for getting it earlier (second, definitely not first) if colonization is important to you. You can make an argument for not getting it at all if Russia is weak and ripe for the taking. Adjust your idea picks to the situation on the ground, and whatever your medium and long term goals are.