Hm, Sweden is my favorite country, always has been. Once you beat Denmark and secure against Rus, its easy normally. I like playing Austria since I am from there, but although France is a pain in the ass, it is not that difficult normally (its nice to get the Dutch countries early through an event, but takes resources to core them). England, France, also Spain are big countries that go well usually. Starting with a one territory nation is fun, but hard. I enjoyed native American nations, and also Mayas (hard technology-wise once Europeans knock on the door). Never played Asian.
Bohemia is tough I guess, having Austria, Hungary, Poland, Ukraine and many others so close.
Whatever I play, I change to Protestantism as soon as I can. Even with Austria. Strangely, I never was elected Emperor after that ;)