Germany first, and easy start to learn the new rules. The UK, Soviet and USA are just too way easy.
Then maybe Italy (or Spain) for a more challenging game. Goal: to become a bigger threat than Germany.
Then Japan for an almost impossible game. Goal: To kick US ass.
Then Communist Sweden, just a fun game with some fun options. Help the fins? No, reconquer them!
Other options such as South America are not that fun until the expansion. France is a bit of a challenge, but after resisting the German invasion the game is pretty much over. Mexico might be an option, but depends on the how the game rules turns out and what options you have for allies.