There's a number of countries good for beginnings, here's my own list and reasoning:
1) Italy - Everyone's favorite. You're a major sidekick to the main belligerent, have abundant opportunities for extremely important contributions, but your bumbling noobiness won't see the war entirely lost. You have an early war to get your feet wet, and opportunities for land, sea and air campaigns.
2) Japan - Similar to Italy, you start with an ability to launch an early war, only this one will be more challenging. Likewise, you have opportunities for land campaigns early on, and then intense naval and air campaigns later - along with ground campaigns against the Soviets if you desire. Very challenging opponents can make this start scenario a real challenge, and really plunge your feet into the game. Psychological studies show that people feel most rewarded by working for their accomplishments rather than getting them on a silver plate.
3) USA - Great opportunity to work on construction and absolutely customize your military as you build up for war. You can jump in on whatever side you want, are not railroaded into any outcome, and will be the deciding factor in any war. A strong navy means you have no threat of a war on your own soil, so you can try & fail, then try & succeed at overseas invasions.
4) Turkey - A great way to explore playing as a minor. You're strategically located on the USSR's southern front, near Iran and Romania, and can secure much resources. You're positioned on the Mediterranean and can help secure it for the Allies, Axis, or Comintern. Strong industry will help you concentrate on 2 out of 3 of the land/sea/air forces.
5) Germany - What? But, Germany is hard. So? Don't be scared, put yourself in the cockpit - Germany is an absurdly strong nation with ridiculously powerful focuses that give you opportunities to not only follow the historical route, but a potentially more successful diplomatic route which will allow you to build a stronger navy and seriously present a challenge to the UK and US.
6) Nationalist China - Go hard or go home. Nationalist China will be for the people that don't want to read the IKEA instruction manual. Nat China begins weak, but through events and focuses can become strong. Nat China is destined to lose, so your game may be short, and you might not win - but winning isn't learning. If you do win, you're ready for anything. You begin with an oversized military, plenty of rival warlord factions, and a imminent civil war - but you use focuses to mitigate these threats, unify China, and double your resources and industry, with the faint hope of becoming strong enough to hold on and eventually become more powerful than Japan. Nationalist China teaches you to make important and difficult decisions under pressure and time constraints.