1. France, to really complete the learning curve, and actually play the game dynamically after the tutorials. That nation is really forgiving, a player can survive about any bad decisions.
2. Once I feel I have a working grasp of the game, England
3. Burgundy (not sure)
4. Austria (not sure)
5. Venice to delve deeper into trade
6. Castille to learn colonization
7. Brandenburg, I guess.
After that, I will play whichever state I wish, with an all-around understanding. Except my real home country, as the map is far too immersion-breaking to enjoy if one is familiar enough with a region in real life. However, if the map will be correct, then I'll play with that state too.
And I will try many countries, but only later when I can be sure I won't eradicate myself by making a bad decision just by not knowing what it will do.