For me personally, I love playing as Japan, Byzantium, and Italy, among others. I also highly recommend playing one of the Dwarf nations in Anbennar, it’s an experience unlike any other in vanilla EU4.
I don't know if I've got a favourite per se, but I do have a certain fondness for Konwell (anbennar); They were the first nation I played in a roleplay mp game, and I've definitely got a soft spot for them from that--hard not to after spending so long making up stories and lore for the nation and its rulers.
Dwarves are definitely really fun, and I second that recommendation, along with the gnomes of Nimscodd; artificery is a really fun (and really op) system. Also quite like the Eordand Ruinborn of Pelomar, but I don't have the same kind of connection to any of the other nations I mentioned as I do to Konwell.
I don't play all that much vanilla anymore, so it's kind of hard to have a favourite there. Maybe Savoy.
Very vanilla, but Byzantium - for the flavor and the hard start. For the first few years of the game, it required new strstegies for basically every patch as they adjusted the AI, was a lot of fun to work out how to survive that first war against the Ottomans.
Also had a lot of fun with Manchu way back in the day when it was available at start.
Sadly, I haven't kept up with the game and haven't played in several years - last time I started was when estates were a new feature.
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