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Well, I am still not quite experienced in this specific game, but in my personal opinion Prussia is nice. Two out of my four games so far have been with it, and if you play your cards right you can form NGF and then Germany without too much hassle, and once you have formed Germany you already won, with the best tech school in the game and a stable place in the podium for industry. Really, the only thing that will be a major roadblock is taking Elsass-Lorraine from France, but if you get good allies, build your army well and have a good composition it shouldn't be *too* hard.
Other good countries from personal observations are: Sweden(one of my games was as this), which has a stable economy, ability to easily reach Great Power status, and you pretty much just need to keep in good terms with Russia to not get completely ♥♥♥♥♥♥. Two Sicilies has some nice diplomatic gameplay on the way to forming Italy and some nice opportunities for industry.
Some countries in Latin American can give you a slightly slower gameplay, to learn the basics. Haiti is pretty damn isolated so you can befriend the US and play around with navies and stuff without too much threat. Chile has cores on other countries, literate pops and good economy.
Either way, try searching around on youtube for up to date info. My fellow Kaiser, Anony, also has a good guide from which I plagiarized quite a bit of info:
http://steamcommunity.com/sharedfiles/filedetails/?id=121042854
Depends if you like to storm into the game or keep control.
Just additional info:
http://www.victoria2wiki.com/Beginner's_guide#Choosing_a_nation
(off topic) Pretty good advice post in the forum for beginners:
https://forum.paradoxplaza.com/forum/index.php?threads/new-to-victoria-ii-any-advice-or-tips.793246/#post-17818374
If you don't worry about actual imperialism and just sphere foreign powers, you can spend more time learning about industry and finance while at the same time not having to manage oversea holdings. You will also learn about what it takes to be a great power, so dealing with crisis' and wars against superpowers (everyone hates Germany in Victoria II). Germany can easily amass an army bigger than the Qing (Chinese Empire) by the 1860's, while keeping you challenged as Russia and France will always pick on you (you need three French provinces to form Germany).
If you want a non-western power, either play as Japan (Meiji Restoration), Persia (already half westernized), or play as Britain and release India (India is China without the Taiping and Boxer rebellions), because SEA struggles militarily due to multiculturalism, Korea is just too small to really compete, at least before the 1920s, the Qing face rebellion uprisings bigger than World War I, the Zulu have no land to expand into without dealing with the Western powers, and neither do Sokoto, Morocco, and Madagascar, and other Middle Eastern countries are had pressed by Ottoman, Russian, and British encroachment.