You could try out one of the Italian states and form Italy, or try the Netherlands, retake Belgium and enhance your colonial empire with a solid industrial home base. I think every nation can be fun (except for satellites) if played with proper goals in mind. For most nations, the first thing you should do is reduce stockpile spending until you get your economy up and running, which could take 5 years or more.
Japan is a curious place and it has certain conditions that make it easy, despite being uncivilized. You think Sweden is hard to play? My first proper game was as Greece.
