The thing is, EU4 is a difficult and complicated game. I don't mean that in a bad way of course. On the surface level, what you can achieve might seem a bit superficial. When you really break it down it is really map painting and conquest. But but but, the thing is. Achieving that map painting, getting the borders you want, the empire you have daydreamed of, getting to that point is NOT easy!
Over the centuries your nation will face all sorts of disasters and things, in my experience, never go the way I planned for them to (unless you abuse reloading/savescumming but where's the fun in that). Religious turmoil, heirless thrones, separatist rebels, coalitions, backstabbers, the Pope, colonial tensions, crazy inflation, bankruptcy, the Ottomans, etc etc etc. So many things can and do go wrong, and you can find yourself go from no.1 in the world straight down to 7, just because you lost a bad war.
For example, my last Burgundy run. It was maybe my 10th or 11th playthrough with Burgundy since they're my favourite nation. I had gotten myself into a good position, had just annexed the Low Countries, won wars against France and took territory, was slowly eating into the HRE and on my way to form Lotharingia. All was looking well, it was about 1512. I was sieging down a lone rebel fort with my monarch, foolishly. He died in the siege, giving me an instant -2 stability, which triggered the Dutch Revolts and tons of massive separatist stacks. This encouraged the Pope and lots of HRE members to form a coalition against me, which they did, and then invaded. This in turn encouraged the remains of France, who had now allied to the Ottomans, to attack me and reclaim some of their lost land. Oh and my allies didn't join the defensive wars, so I was all alone too.
So in a flash I went from Pax Burgundia to suppressing a huge nationalist revolt, fighting off a Papal/HRE coalition, and fighting off a vengeful France now backed up by the Ottomans who of course are normally the strongest power in the game. I went ahead and did my best anyways, tried to fight off as much as I could, tried to take as many loans as possible and hire mercs, but in the end, my kingdom which had such a bright future was reduced to little more than the historic Duchy of Burgundy (without any of the Low Countries). That's just one example of the many ways things can challenge you.
Follow the mission paths, pick an achievement, set your own goals.
Starting as Holland, form the Netherlands, recreate the Dutch Empire and conquer England. For an even more interesting and difficult approach to that, start as Flanders or Brabant instead.
Start as Jianzhou, unite the Jurchen tribes and form Manchu, take on the Ming, crush them and form the Qing Empire. Colonise the Americas as Qing, spread the glory of China to Australia, India and beyond.
Start as Bohemia. Stick to the Hussite faith, or go Protestant, or hell even stay Catholic! Which one you choose will massively determine the outcome of your game. You can try to crush Austria and become HRE Emperor (or you can do it diplomatically!), win the League War and establish Catholic/Protestant supremacy in central Europe. Enforce your personal unions on Hungary, the PLC, fight off hordes of Russian invaders, liberate Europe from the Ottomans!
You can even go the atypical paths and do funky stuff like Coptic Ottomans, Orthodox Venice, wide Portugal, etc.
etc etc. There are just so many paths you can choose, so many unexpected and random challenges will be thrown your way, so many cool formable nations you can go for, so many different ways to paint the map and create the ideal realm. You can shape the world into any geopolitical/religious/cultural mould you want. But as I say, setting yourself these goals and actually achieving them is a very different thing! Getting from A to D is never as clear as you want it to be, and a lot of them, you start on A and try to get to D but somehow end up on P.
I could go on and on. But after 900 hours I still learn new things, I still love playing it and I still have sooo many different ideas and nations to try out. I have played Hearts of Iron, CK and some Victoria but EU4 has always been and always will be my absolute favourite. I would be happy to recommend some of my favourite nations/paths/ideas.