Although I played many both, MP as well as SP, I never actually finished one to the last drop. MP games tend to break at some point for various reasons. SP I abandon when the outcome becomes so clear that it is hard for me to keep motivation up.
I get more fun out of finding the best way to use the game engine, explore the possibilties of the economic games, get a certain colony with a totally unfit faction and such things.
I never heard of anybody who achieved early victory, it is a tuff challenge.
I like to play the underdogs. The fun can be limited though, when playing with the wrong guys in MP :P
Ottomans are my favourite. They practically have no chance of winning but got a lot of potential and when you reach the 1890's with the empire mostly intact you really played a good game.
US is also fun because you mostly kinda play against yourself, meaning the Civil War and the contentment of your population.
Austria is another country that gives you a headache, at least if Russia and France are counterweighing you in early game. If not you really have a steamroller there.