Canada is the best.
- Enough starting IC to become a superpower by 1948
- Will be involved in WW2 without having to gain dissent by declaring war or wasting money on joining or making alliances (where you will have the option to greatly effect the outcome of the war without being FORCED to perform)
- You get the experience of completely building the entire armed forces, including air force and navy, from scratch.
- You are not directly threatened by invasion, i.e. you are safe to make mistakes.
- Will be supplied with resources by the UK
- Easy access to blueprints from allies
- Will probably be protected by UK's complete naval and at least partial air superiority while experimenting in over-seas ops
- If the US joins the allies, you will never be in danger.
- Once you become a super power, the ultimate end-game is a war against the US - where your new skills will be tested.
- Generous starting transport fleet means you will be able to experiment early with overseas adventurism
I think Brazil is also a decent choice... although not as a first choice, heres some cons:
- Unable to expand too quickly or the US will declare war on you, as they guarantee the independence of South America... which is the worst thing a noobie should have to deal with
- Poor tech teams and leaders make play difficult if Brazil does not join one of the world alliances
- Does not start in an alliance (as Canada does)
- Significant slider adjustments must be made to make Brazil a viable totalitarian dictatorship as USSR or Germany
- Will not be able to compete with the US and UK air and naval forces offensively until the mid to late 1940s, as they are so behind, (may be sped up if they join an alliance and get blueprints)
- Difficult terrain of South America not very noob friendly, fighting in jungles and mountains takes months and has some very significant modifiers which can take some skill to handle.
- If not in an alliance, the player must be able to carefully think ahead and plan naval and air ops, including overseas invasions - which requires some skill and experience. Landing in Casablanca and having your entire army out of supply because you forgot to build enough convoys is a good example.
- Small general pool makes endgame play awkward, you will never have enough generals, and you will be forced to at least puppet argentina just to supply coast garrisons/officers.
- Overall i thinker a "better" version of Brazil as a starter nation is Nationalist China.
Germany is not a good choice because if you make a mistake, the game ends, especially when fighting the USSR.
USA is not a good choice because it has only a small pool of tech teams starting in 1936 and is restricted by isolationist events, it won't get into the action for a long while.
USSR is not a good choice because you will get battered and have no idea what is going on when war with the Germans starts.