EU3 is great for so many reasons.
Most strategy games, Castille attacks you and it's game over. Here it's more realistic. Wars have realistic goals, and not every war is life or death. Hell, it's usually not possible to completely wipe someone out in a single war.
Portugal's great for learning the colonization game. So long as you can keep Castille happy, no one will bother you in Europe.
Play another country, and you get a COMPLETELY different experience. If you want to learn trade, play Hanseatic League or Venice. You're actually LESS powerful the more territory you directly control, beyond a certain point. Your wars are about gaining access to goods and forcing people to be in your league rather than land.
For diplomacy, the Holy Roman Empire is good. Playing a middling realm within it (Bavaria, say, or Bohemia) is one of my favorite ways to play. Relations with your neighbors are preeminent. If you can become Emperor, things get more interesting still. Rather than that being an end-goal, while you are more powerful, the new challenges that entails counterbalance it nicely.
Then there's the Byzantines trying to reestablish their empire, or a proto-russian land under the cloud of the Horde.
You'll never really have learned everything until after many, many campaigns. I'm rather experienced, but I've never tried an Eastern country, like China or Japan, that have mechanics all their own.
Good luck and have fun. The Paradox forums are indispensable, and far more polite and helpful than forums for most games. Probably something to do with the sort of person who really enjoys games like this.