I will give a negative vote against Byzantium - forum nuts are too concerned with it and my one game was not particularly exciting. Maybe 1410 start is too easy. Anyway.
Secondly any of the Italian states with the possible exception of Milan since it gets smacked on the regular by France/Habsburgs.
But my favorite has to be the German states except for Austria. Wresting Emperorship out of Habsburg hands, forming Germany and destroying the HRE have been some of my favorite games in the past. Especially since the countries are so small - take on Poland and TO as Brandenburg so you actually have a chance against countries like France, England, Austria, Ottomans, etc. When you form Germany the game quickly gets a lot less interesting, but getting your cores back and asserting your dominance as world hegemon with some of the most profitable lands on Earth can be pretty entertaining.
I've played a few games as France and I really want to have fun with them, but there's hardly ever a threat to your dominance. Perhaps I should play Revolutionary start or move on to Victoria or Darkest Hour to get a worthwhile game as France. Tooo easy.