I would not recommend Brandenburg to learn the game. Expanding in the HRE can be difficult, coupled with the numerous diplomatic interactions amongst all of the varying states. Couple that with a power hungry Bohemia/Silesia and it can be a bit much for a new player.
Sweden on the other hand I think is a great choice. There are events that fire to ease Sweden out of the Kalmar Union. In fact, there are a lot of events for Sweden that highlight key moments with its history.
I’d suggest Castille over Portugal thanks to the Iberian wedding event that allows that nation to automatically acquire Aragon (and potentially Naples) in personal union. Castille also gets to experience some early warfare with the Reconquista against Granada, will most likely be the second European nation to colonise the New World plus establish trade companies along the African coast and overall grow and expand. Portugal is the weaker version of that, and I found I had too many scattered colonies across the world. Not much fun. As Castille, the main danger is France, so keeping them happy, or alternately having a strong European power who hates them as much as you do is important (eg: Austria).