Another consideration is that the top 8 "Great Powers" can colonize, and have "Spheres of Influence". The latter is essentially a game in itself, and is extremely micro-management heavy to avoid having your diplomats suffer unexpected Discredits, Expulsions, and Bans in your target countries as a result of competitors getting one up on you. Playing a country such as Brazil or Sweden will allow you to learn how to manage a decent sized country without the pressure of having to deal with a SoI. Note that a country in a SoI has access to that SoI's products before other countries on the world market, although the Sphere Leader will get first pick of everything in their own sphere. Several countries (such as Prussia) can form larger countries (Germany, Italy) if they can get ALL of the required pieces either annexed or into their Sphere of Influence.
Secondary powers can colonize and perform a few other actions which a mere civilized country cannot, and uncivilized countries are even more restricted.
As said, the USA is a relatively safe start (unless you manage to lose to Mexico), but they can easily get dragged into an early war against the UK over the New England states, so don't ignore your diplomacy or military, and don't forget that you can have allies and a Sphere of Influence of your own.
Prussia is by far the best for learning how to manage and dominate a Sphere of Influence, and makes for a good second or third game, once you understand the basics. Note that you do not NEED to fight ANY wars to form the North German Federation, if you can bring Saxony, Hannover, and Holstein into your sphere (Luxemburg is optional). Saxony will require a bit of skill or luck in a direct influence duel (or a war with Austria) to pull out of Austria's Sphere, and Holstein can either be sphered or else annexed by force practically from the start of the campaign (along with some high-literacy Danish land, if you don't mind a few more points of Infamy), while Hannover will leave the UK's sphere of influence in just a few years when Victoria is crowned, and can VERY easily be reeled in. Forming Germany from NGF will then require sphering Bavaria, Wurtemburg, and Baden, plus prying Alsace-Lorraine out of France's cold dead hands (definitely needs a war), and Austria can be knocked out of Great Power status and added to form the German Empire if you're able to pull it off.
Brazil makes for a relatively safe learning experience, and is a "big fish in a small pond", but no match for any of the major powers until relatively late in the game, although it's quite possible to work your way into Secondary Power status much earlier. They do have serious cash problems at the start, so getting them up and running can be a little bit tricky for a new player. Once you get the ball rolling, however, they've got access to some decent resources, except for coal, which then needs to be a priority if you want to achieve GP status.
Ultimately, no matter which country you choose, your first step is to manage a positive cash flow. This can involve, depending on which country you play, either raising taxes to, or close to, 100% (your low tax efficiency means that the ACTUAL tax will be far lower), boosting Tariffs (which has the down side of limiting any imports needed by your own Artisans and factories, as well as by consumer pops), and/or promoting Bureaucrats with your National Focus point(s), to increase tax efficiency. Meanwhile, as tax efficiency increases and your cash flow grows, taxes can be gradually reduced to allow your pops to buy more and more of what you're producing. I tend to rely on initial heavy taxes, and boosting Bureaucrats as quickly as possible, while keeping tariffs low in order to allow my Artisans to function effectively until I've got enough Literacy to make factories practical. You need around 40 Literacy for Clerks, otherwise it's very difficult to get enough of them to help your industries. Eventually, the factories will make your Artisans mostly irrelevant, and you'll WANT them to promote or demote to other occupations. Depending on your ruling party, you may be able to build the industries you want, or to subsidize the more important industries to prevent them from closing during periodic economic downturns, or in some cases may be unable to intervene in the economy at all. You can change your ruling party by decree in most countries, but it WILL increase Militancy, so use it with caution. It's often beneficial to change to a Reactionary government at the start of industrialization, build the vital industries you need for solid a foundation, and then switch back to a Conservative or Liberal government and let it run mostly or entirely on its own.
The second step is usually to begin promoting Clerics, who will improve your country's Literacy (up to a max of 4% of your population as clerics) and their Consciousness (which increases pop demands for more goods and more favorable legislation), reduce Militancy (militancy is a BAD thing, it makes your pops more likely to revolt), and add Research points (up to 2.0% of your population as clerics). The down side is that the increased Literacy will gradually lead to increased Consciousness. Militancy is a short-term problem, serious but it burns off quickly. Consciousness is far less dangerous in the short run, but has long-term effects (particularly for non-accepted culture pops) and is harder to get rid of, and having some small amount of Consciousness can be beneficial for various other reasons.
Ideally, in most cases I use my NF points to boost Bureaucrats until I've got a stable income base, then switch over to boosting Clerics for at least the first half of the game.
Note that you can get a lot more detailed view of what's happening, and why, by looking at the individual provinces' pops. Click on the province, and then on the small box in the middle of the right-hand side of the province window, which will bring up the pop information. You can see how many pops of each class or profession are getting their needs met, how literate they are, how many are promoting or demoting, and so on. Understanding what makes your pops do what you want them to do is at least half the battle.
Passing reforms can be a good or a bad thing. The political reforms are useful for burning off high Militancy, but ultimately take control away from your central authority (you as a player), and tend to require more and more reforms as it goes. The social reforms mostly end up costing money or reducing the efficiency of your industries, but include a few real gems such as Health Care which increases the growth rate of your population, and Education reforms which increase Literacy. Running out of reforms to pass too soon in the game can be a major problem, leaving you with no way to deal with Militancy other than shooting the frequently spawning rebels and thereby lowering your country's population. Unlike other games where rebels appear out of thin air and have no effect when they're gone, those are your own people, and killing too many of them actually reduces your power as a country. Besides, having your army fighting against a million rebels is no fun at all, especially after the third or fourth time, because you then have to somehow find replacement troops from those pops you just shot. Also unlike many other games, war is primarily a tool of diplomacy, and an expensive one, so "playing tall" and staying out of wars entirely, or at least as much as possible, is a very valid strategy for a lot of countries. Don't expand for the mere sake of expansion, especially if you can get what you want through diplomacy, or by sphering a source of essential raw materials. That, of course, goes out the window once the colonization race begins, where it's a "grab as much as you can" frenzy with no Infamy down side to it.
The Victoria 2 wiki is a great source of information, and includes detailed descriptions and charts of nearly all of the events, decisions, and game mechanics, as well as strategy guides and suggestions for running practically every country.
