to be really helpful -- ' it depends'.
I'd avoid Belgium, there really is too little to do.
US and Japan are slow starters, but once they pass the 1860s both offer scope.
Austria and France are both fun, Austria is more of a European power but you can intervene across the continent (and take some one else's colonies if you wish). France is a challenge, especially pre-1870 as you struggle with domestic unrest and a growing Prussia.
Russia is interesting, you will be backward but powerful, lots of scope for action in Central Asia and the Far East.
Turkey is much the same - bit more limited but there is a very good AAR where someone drove the Austrians out of the Balkans. If you opt for them, there is a problem with your mid-game Sultan (from about 1870-1900) who is so weak diplomatically that he stops you doing anything - you might want to mod his stats to prevent complete frustration.
Prussia fast becomes powerful and post 1880 you can move onto global issues.
The UK is a bit of a challenge as you have a lot going on, but in truth a player should be able to manage it into a clear lead.
Sardinia-Piedmont/Italy is simply great fun (but then I am biased
Which ever you choose few core ideas. Don't play as a mercantalist, as the player you need to set up your economy to lubricate global trade so if you can buy in rather than produce etc. One of the joys of PoN is you come to realise that todays enemy is tomorrows trading partner and vice-versa so in the main imposing a devastating defeat on an opponent may not be your best long term plan. The colonial game is slow and frustrating - you will find the locals strangely opposed to your benevolent plans.
have fun - it really is addictive