I usually recommend the following:
1st game: Castile
2nd game: another major Western European power (such as Aragon, Portugal, England, France, Denmark) - but not in HRE
3rd game: a large HRE power (Burgundy, Austria, Bavaria, Brandenburg, Bohemia, Milan, Savoy) - but not Switzerland or Hansa as republics are different
After those three, you should have a pretty decent handle on most of what the game has to offer.