Hungary is a popular starting nation, because it begins with low Neutrality and cores in nearly all of its neighbors (thanks to the lands taken from it after WWI, and handed to Yugoslavia, Romania, and Czechoslovakia), and has just enough industry, leadership, and military force to carve out a modest empire in the Balkans. As soon as you have the cash to afford a change of laws, you can lower your one production law from "War Economy" to a step down from there (partial mobilization?), which will reduce your EFFECTIVE IC to under 30. That enables the "Prepare for War" decision on the Diplomacy screen, which if enacted lowers your Neutrality by around 50 points over a 10 month span (it begins at 50, so by October you'll be able to attack ANYONE). Once enacted, you can revert the production law change to get back over 30 Effective IC, and the decreasing Neutrality means that less IC will need to be spent to cover Consumer Demand. Hungary has an across the board resource shortage, so you need to sell Supplies (usually around 20 or so to the Soviets) to afford the raw materials to support your industries. With a little bit of preparation and concentrating on the infantry essentials, you can blitz either Yugoslavia or Romania (the harder of the two). Taking Austria is a cakewalk, but causes issues for Germany down the road, if you're planning to join the Axis, and any conquests you make (as a Fascist state) will be seen as a threat by all Democratic and Communist states, allowing them to pass more aggressive production laws and making the game harder for the Axis. If you're NOT planning to join the Axis, German will most likely use Influence to prevent you from joining any other faction.
Sweden is another potentially good starter, with the ability to gather most of the Scandinavian countries under its wings, but has to deal with higher initial Neutrality. Eventually, Germany's growing threat will allow you some freedom of action to take on the neighbors.
