The furthest I've played as a nation was the USA, almost up to 1900. After the Scramble for Africa bit, that's for sure.
I found the USA a good power to pick. It's nice and small starting out, without too large of a military to worry about, though I always left the economy on autopilot, so no ideas about that. Plus you have ample expansion in the west, Mexico is your punching bag, and extending your influence into the Caribbean/South America is quite fun, since the European powers like to fight with you over them. You also have the American Civil War to look forward to on your rise to Great Power status, after which you can bully around the lesser countries with the best of them.
The only problem with the USA is that they grow too powerful too quickly, with no-one able to stop you. Once Mexico has been beaten into submission and the Caribbean is your private swimming pool, you don't really have much to do. Except go on foreign expeditions and mess up other countries, of course.
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Thinking about it Prussia might be the better choice. You've got German unification to dick around with, a powerful military to attack people with, and lots of wars against France, Russia and Austria-Hungary (assuming you didn't disembowel them to form Greater Germany of course) to look forward to. Sounds like fun.