If you're playing vanilla, and you want to do it the "hard" way, as people said there are loads of empire titles in CK2+ and other mods. So download that (just put it on your desktop or something), go to the CK2+ folder, then /common/landed_titles folder, open whatever the filename is (I don't have CK2+ installed right now), possibly landed_titles.txt, and find the empire of your choice. Copy it into another text file for now, and feel free to alter the colour (as shown on the map), capital (a province required for creation, basically), and creation requirements. Copy-paste the finished code into the landed_titles.txt in the vanilla Crusader Kings 2/common/landed_titles folder. Of course, you don't NEED to have CK2+ or anything, you can just copypaste another title and alter it.
Next you need a flag, which is located in the gfx/flags folder. If the empire you're making is e_norway for example, there should be a e_norway.tga file in the CK2+ flags folder, just copy that (or copy another and rename it to e_norway.tga) into the vanilla CK2 flags folder. I think you can use any flag file, so if you want the Kingdom of Poland flag, just find k_poland.tga, for example. If you want the Teutonic Order's flag, just do the same.
Next is localisation, basically changing it from showing as E_NORWAY to Empire of Norway ingame. Just open your localisation/text1.txt, search for e_hre, and this should show up
Code:
e_hre;Holy Roman Empire;Saint-Empire Romain;Heiliges Römisches Reich;;Sacro Imperio;;;;;;;;;x
e_hre_adj;Holy Roman;Impériale;Heilig Römischer;;Germánica;;;;;;;;;x
Just copy-paste that into another line, change e_hre to e_norway and likewise with e_hre_adj, and set it to, for example, Norwegian Empire and Norwegian, respectively. Assuming you're using the english localisation you only really need to alter the first one (where it says Holy Roman Empire).
And that's basically how I did it, anyway. If your flags don't show up ingame, there's a flag cache in the CK2 folder in My Documents, gfx/flags, just delete the content of that.
Oh and it might be a good idea to backup stuff, of course, in case you screw something up.