I'm looking for a challenge in Europe and there are a lot of challenges in them if you can imagine it.
My personal favorites are The Papal State and the Teutonic Order - but do not form Prussia - stay a true and faithful Bishopric to the end and do not deviate from God's one true Holy Roman faithl
The Papal State and TO are, for me anyway, great fun as I just really like, well, their colors and flags and their religious basis for their ideas and such.
Plus, their NIs aren't bad, but they're different (I gave Georgia a shot last night and I would call their ideas different and *bad*

). You can do a lot with their NIs and so in a way it can give the game a slightly different feel. I feel it's more interesting and challenging when you cannot solve all your alliance problems with royal marriages. As a religious state like one of these, managing your alliances matters more because there isn't going to be a stability drop due to attacking you because of a royal marriage. One wrong move and down goes the alliance, up goes the DoW and you're in the thick of it now!
So give them a try.
If you want a *real* challenge, play the Livonian Order, conquer the TO as well as Lithuania, Poland, western Russia and Scandanavia and show those heretics who is boss.
Personally, I've never been able to blob Livonian Order yet (admittedly I gave up after only 2 starts), but I think it is much more doable in 1.8. In 1.7 and before, you, of course, need the TO as your ally. But prior to 1.8 they *always* took war leadership and would use the war score for their benefit and totally ignore your claims altogether. 1.8 changes this, so LO may be possible to blob into a great beast without super human efforts or gamey tricks.
If you do the LO, save a stream and put it up. I'd love to see a good LO playthrough!