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Creating italy is good but dont take rome until you are strong and can create italy right away. Other strong countries might get a quest to free rome if the pope doesnt have it which means that they get hostile.
Once you get strong enough or france gets weak enough go for its lands. Spreading into holy roman empire is such a bother, everyone and their dog will hate you for taking that one province you really wanted.
Exploration is fun but its probably not worth much as savoy until you have eaten iberia.
Considering your going to want to go after France pretty soon you'll likely want to take defensive ideas for the front loaded miltary buff and as you control a section of the Alps the fort defense helps too. Depending on the situation you might want to take a military idea second if you are fighting alot. Be sure to stay up to date with military technology though.
As your playing on an end node taking trade ideas gives you a big boost to your slice of the pie so consider picking that up. Depending on your overseas plans you might want to take this 4th or 6th.
Stacking mecenary maintance can be extremely useful for the late game where manpower can be wasted on long seiges so consider picking up administration and if you pick up quality take invocation as well.
As for strategy you are a big italian nation so you get plenty of option. Allying Burgandy and using them against the French is an option with a chance of inheritance too. While you are still in the empire allying Austria is also advisable to avoid the dreaded unlawful territory. You are also big enough to influence Aragons dynasty so with a little effort it is possible to grab both those PUs.
Depending on what your goals you have taking on Provance or Milan should be top of the list. Milan is usaully isolated from allies and an easy pick and Provance usually gets excommunicated so low AE mpact. France sometimes ends up at war with England with the surrender of Maine. If you allied Burgandy it can be a prime time to shatter the French before they get going.
As for the reformation I'd stay catholic as you get Papal Influence in your national ideas and the benefits of the pope, while different are as powerful as the other faiths.
If you want more detailed advice apart from a general overview of the starting position in 1444 give a goal you want to accomplish.
http://www.eu4wiki.com/Personal_union#Personal_union_through_diplomatic_means
Although castile usually gets Aragon before you can. I suppose that if you can beat them in wars so that they will get negative prestige they are likely to both lose aragon and not afford proper colonies for a while. Its not worth it though, better to eat all the italian neighbors and form italy. Its a really good country.