For empire I love controling naval trade, fighting for monopoly, defending my routes etc., so I usually pick a nation for which navy is very important. My first few campaigns were with Britain, but was back when the game had loads of bugs and I never finished any of them. Eventually I lost interest and put teh game aside for a long time.
Returning later to patched and well working ETW, I did not want to pick Britain yet again, so went with United Provinces. The first campaign I ever finished, with lots of fun.
After this I wanted to try Warpath campaign, so completed it with Pueblo Nations. Reasons for choice then were their nice looking apachean mounted archers.
After getting Darthmod, which I think brings the game to what I expected it to be from the start, there are many new options to try. The custom campaign unlocks all minor factions. I completed very long campaign (1700-1836) with Courland (such choice because it is nearly the region I live in).
Also tried some shorter campaign with Knights of St. John of Malta, simply cause love their history.
And then did something very fun. Took campaign with Pirates. It seems quite impossible first cause income is -1000 or so, and ther eis nearly nothing to improve on home islands, but if you loot the traid routes regualry you can bring it to +2000 or more. And an extra bonus is the bounty for any captured ships.