Frequently played:
-Germany: I'm not a particularly good player, and I enjoy being able to play as the "main country" of the game and expect to be successful. Germany is definitely overpowered, but if it wasn't, the game would be pretty boring and new players would have a hard time getting acquainted with HOI4. The Kaiser path is probably my favorite tree in the game.
-Italy: I have tried time and again to restore the Roman Empire but have thus far been unsuccessful. Like Germany, I think Italy is good for new players, but to a lesser extent than Germany (the game's tutorial is notoriously unhelpful in my opinion). I will definitely play as Italy more when it gets a new focus tree in the future.
-France: You start in a vulnerable, defensive position as France, and that's what makes them fun to play. France is one of the few countries I have fun playing as a democracy which is a nice change of pace from the fascist-centric meta. The new focus tree finally gave me the opportunity to defeat Germany as France, but I fear it has made France too easy to play as. The monarchist paths that were recently introduced provide some nice replayability though.
-United Kingdom: As the world's leading naval power, you don't have to worry much about naval superiority as the UK, which is great. Like France, this country is fun to play as a democracy (a rarity in this game), although the other paths provide a lot of great opportunities as well. I have extensively complained on these forums about the decolonization tree in this country's focus tree, and some lacking flavor options the UK suffers from, but overall the British are fun to play.
-Soviet Union: This country is fun because you start with a giant army that you can use to rush some combination of China, Finland, Iran, Iraq, Poland, Romania, Sweden, Turkey, or even Germany if you are good enough. I feel that the Soviets are a good country to play as if you just want to conquer as much as you can with little consequence. Going fascist adds totally new dynamics - you can totally bypass the Trotskyist problems (skip the civil war if you flip fast enough) and compete against Germany for the allegiance of non-aligned and fascist countries in your backyard. The main problem here is the focus tree is very weak. I can't wait for it to get updated sometime.
Seldom played:
-Japan: One you get all the achievements I feel there aren't many exciting things to do as Japan. You start off in an insanely strong position as a leading naval power with a giant army, and can pretty much take down anyone you want as soon as you want. The difference between Germany and Japan is the heavy emphasis on the navy and a very dull focus tree. I don't like playing with navies and Japan's focus trees are very short when they aren't unrealistic enough to be immersion-ruining.
-United States: For the half the game you just sit around waiting unless you want to fight an incredibly forced civil war that has no reason to be in the game. When you're finally ready to fight it's just a slow grind to defeat whatever countries have been allowed to build up while you've been restricted by the Great Depression and the avoidable-to-the-point-of-wasted-development-time Congress mechanics.