The major difference is that war is just one small part of the game. If you play a minor power and don't want to be the next juggernaut you can stay at peace for decades at a time. Also, there is no chance of annexing anything bigger than Serbia in one go. You'll need multiple wars to incorporate countries like Prussia or Argentina into your empire (this isn't the case with uncivilized nations, though).
You'll spend a lot of the game managing your economy and keeping your pops happy. That and diplomacy will be your main focus, if you are a minor power. When you have a sound technological and economical base you can go after uncivilized nations and then after some of your civilized rivals. Vicky isn't a game where you should rush to battle unprepared.
For starters best go with Belgium, but Sweden, Denmark, the Netherlands and even Switzerland and the German Minors can be fun to turn into industrial powers. Countries with a low literacy like Mexico and South American and Southern European countries are more difficult, but on easy difficulty you should be able to get a spot in the top ten with any of them after your first couple of games.
You should definitely get Revolutions. The reworked industrialisation and colonization alone is worth the price. You'll also get 16 more years and an (admittedly buggy) converter to HoI2-Doomsday.