The first game will be just about learning the ropes,so i'll pick something like Russia: strong enough to defend itself but still facing many interesting challanges and opportunties to test out the game system. After familiarizing myself with the system I'll quit the game and pick one of the following:
The Ottoman Empire. The 19th centyry might be called the age of nationalism but I'll teach the poor sods who have fallen under the spell of that terrible disease that they are much better off LIVING as subjects of a transnational empire than DYING as nationalistic fanatics. Under my watchful eye the Ottoman Empire will try to reform and industrialize. It doesn't matter if you are a turk, serb or an arab -- I like you all, and especially those who are rich and thus pay more taxes. Economy, education, technological development and industrialization will be all that matters. I might agree to give up some rebellious european border areas to more developed bordering states as an exchange for technological transfer and investment. This will have a twofold bonus effect: with the funds and technology received I'll turn the core of the nation into a Wirtshaftswunder and I not having to any longer to finance periodic crushing of those rebellious minorities even more money will be available for the transformation of the society. Once the core of the Empire is healthy again we'll look for an opportunities to ge our beloved brothers back to auspices of the Empire: shameless wars of opportunity against neighbours already locked in life-and-death strugless.
Sweden: Although small and sparsely populated, Sweden is rich in natural resources and quite developed. I will strip down the army to bare minimum and throw everything into economic and technological development. Factories, factories and more factories: Metalworking, arms factories, wood mills and paper factories... anything that will turn profit. Immigrants wellcome!
I will transform the nation into a industrial powerhouse selling good quality weapons and manufactured goods to anyone willing to buy. The lovely norwegian girls are not allowed to leave the Rike (I don't care that much for the male population of Norway, but they too can stay and slave away^H^H^H^H^H^H work in the weapon factories.) After few decedes of commercial, industrial and technological development (well maybe claiming a colony or two, if that's possible) I will reform the so far negletted Swedish army into a small but effective fighting force... few core units armed with latest weaponry produced by our leading-edge arms industry. This small standing army will be easy to re-equip and easy to reform to try out any new tactical and strategic ideas. The small "Model Army" will act as a training academy producing capable leaders and officers for the fully mobilized citizen army. Then Sweden will turn her so far deceivingly peaceful eyes east...The Grand Duchy of Finland, now an autonomous (own army and money, own citizenship=russians needed a passport) and prospering part of Russian empire used to be part of our nation in 1809...and it will be again, once a suitable opportunity arises.
When Russia sooner or later throws herself into a protracted great power war the world will witness a miracleous transformation of Sweden: the exports of the thriving arms industry will slowly grind to halt as EVERY available modern cannon and rifle will instead be channeled to the rapidly expanding Swedish army. The small "Model Army" battalions will turn into regiments and then to divisions and corps as fast as our overblown arms industry can equip the new troops who are being carefully trained by the "Model Army" officers. Once the nation is fully militarized a declaration of war follows: the ultra-modern Swedish army crosses the eastern borders and occupies Finland. If the Russians agree to give back Finland we will immediately make peace with them (and even start to sell them weapons again if they have the money). The war will be fought on 100% war footing but the aim really is limited only to reconquering Finland. After that Sweden will be return to her normal dream neighbour self again...except that if a suitable opportunity arises she will ask the southern brothers and sisters across the Sund to join the new Nordic Union... and she won't take no for an answer

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We will use the trinity of deception, surprise and opportunism to bring liberty, equality and brotherhood to Northern Europe. Liberty to be Swedish citizens equally expected to serve the crown and support each other in a brotherly way doing their duty for the king. Heja Sverige!
Japan: obviously fun choice of directing the modernization (opening up right away in 1835) and later re-militarizing the society and waging wars of aggression towards the underdeveloped neighbours. Banzai!
South American countries and Mexico: Great Fun!
¡Hasta la VICTORIA siempre!