I actually (finally) jumped in EU3 recently (minus DW though) and after trying a few countries I ended up playing at Castille which turned out to be very interesting in that period.
First you have to finish the Reconquista against the last Moore settlements in south then try to unify the peninsula while keeping France and Portugal out of your backs (a unified France is a terrifying threat...)
Then options are very opened on what you can/want to do:
- I took over Portugal (big infamy hit but that was a major threat out of my back and very rich provinces) and then had practically no competitor for colonization of the New World/Africa
- Fooled around in North Africa battling against Maroco/Alger, took over few of the first provinces meaning I had good defensive positions near Gibraltar and controlled entry/exit to Mediterranean sea
- Had some huge attrition war against unified France in the 1500-ish and goddammit do they have huge armies and manpower!~ (which is actually very accurate to what it was historically)
- England tried quite a few times to take over my first colonies in Azores or Madere islands, I almost tried a Sealion style invasion but their navy was really too tough (again perfectly accurate)
I think I may start again in medium difficulty (was on Easy for first game) with another country as for now I don't have much opposition except maybe France and I am the only country actually colonizing America/Africa so it can only get easier and easier.
I didnt take any screenshot or notes since it was my first real serious game (and I was quite fooling around with mechanisms...) but I would say it's an interesting choice to try out if you havent done so yet

One thing though, to actually finish a campaign with a country for the full lenght (the one starting in late 1390 or something), it can takes a VERY VERY long time, even longer than HOI2 or 3!
For people starting up there is a strategy guide on the Paradox forums with some very good info up to Heir to the Throne expac (name is HeirtotheThrone_strategyguide) and it helped me a lot to read it first and then jump into the game and go back to the guide if I had some stuff I wasnt sure of.
This post has been edited by Gormaz: Feb 18 2011, 01:52 PM