I usually play Sweden.
I had a nice run as Bohemia once, though.
I've had a really fun game as Portugal, but I usually have enough fun kicking swedish asses until they're fully subjugated like they should be. Apart from that, Brandenburg/Prussia or Saxony/Other german minors.
My best Uber-Grand Campaign was to take the Principality of Smolensk in CK (1066), build it into a multi-kingdom Graeco-Russian Orthodox Empire which stretched from Egypt to Lappland and Hungary to the Urals (including curb-stomping the Mongol hordes every time they dare showed their faces).
Then imported that into EU3, extending my empire to the Pacific and conquering the whole of Scandinavia, Persia, Mesopotamia and the Levantine, all of North Africa, and as far as the Punjab. Also began creating some African colonies (a la Portugal) and some North American colonies up around Nova Scotia and Quebec. By this point, my main accepted cultures were Russian, Greek, and Arabic (when you conquere pretty much the entire Arab world, you're going to have to integrate them) and I spent much of my time working to convert the Arabs and the various Siberian and Central Asian tribes to Orthodoxy.
Imported that into Victoria: Revolutions. Didn't grow too much, although my colonies expanded a bit. Remained a constitutional monarchy, fought a few inconclusive wars with Germany and France (I should have been able to crush them with raw manpower, but the tech differential was a problem, as was maintaining the sheer bulk of the Empire).
Imported that into HoI2, and proceeded to steamroll my remaining major opponents in Europe, bringing all but the far corners of the world under the benign rule of the Tsar-Patriarch.
And then "imported" that into Aurora and spread to the stars!