I enjoyed a Serbia game quite a bit
Me, too.
I like the OP's suggestions too. I'm playing a Mali game, and I had the goal of not only controlling West Africa, but preventing the Iberian colonial duo from getting around Africa to India; it actually worked! Now they have to go the long way around, and I'm even being a hindrance there (Easter Island and Tahiti are MINE
In fact, I think I'd broaden the suggestion of particular nations to picking a nation and having particular goals. For instance, picking the Papal State and having the goal of making sure all of the New World is Catholic, or as France, own the Arabian peninsula and convert it all to Reformed. Or see if you can conquer enough Hindu provinces as Portugal and rebel-convert (I dunno if that would even work). Or spread Hannoverian culture to the Swahili lands. Or the reverse, a bit more difficult! The possibilities for fun and challenging games are endless.