First time I will play Sweden. I always star with Sweden in Paradox-games. It's my home country, and the geographical and historical area I know the best. I plan to try to make them a really good military power and hold all of the territories around the baltic. I don't think I will focus anything really on trade since the trade possibilities in the Baltic doesn't seem too good. Basically only two inflows, from the east, far inland where I don't really want to take any provinces. Focus admin to raise tax base and stuff and militarily on quality and aristoratic ideas. Focus naval on Galleys or what they are called.
After that I do different "missions" that I think would be fun. Like turning Burgundy into netherlands and making them the richest nation on earth by trade and colonization.