Definately Great Britain first, and for a few reasons.

1) I`m British :)

2) Aside from MP campaign the main feature I`ve been waiting for in total war is naval battles and I think playing as the British will offer the best experience for this.

3) Redcoats look cool!

After I`m done with my home nation I`ll probably try the harder/smaller factions. I like the game to be as challenging as possible.