One quick tip I worked out late (der) is this:
Decide if your nation is a "coloniser" or not. This means, do you or will you have the ability to colonise America during the game. Logical "yes's" are Spain, Portugal, England and France. Logical "no's" are Turkey, Austria, Poland-Lith and Russia. Once you work that out, decide what you'll do with the nation. Try to follow history for the first few games.
Spain: colonise central/south America.
Portugal: colonise Africa/Asia.
France: colonise Canada.
England: colonise North America/Asia.
Russia: expand south to find the Siberian Corridor to colonise all the way to China.
Austria/Poland-Lith: take advantage of all the Central European turmoil and establish yourself there.
Turkey: establish a stronghold in the Middle-East/North Africa then prepare for the Muslim-Catholic wars in South Europe.
If you play a few games following history, you'll pick up things yourself. Hope this helps.