I'd advise starting as Prussia, Japan, or America. All are relatively straightforward, but Prussia's probably better for getting a handle on diplomatic structures(birth of fire, a bit). For the first game, I'd probably avoid early colonization, even it gets tempting when the UK goes berzerk on it. Save colony management for later. Haven't actually done America in vanilla Vicky, now that I think on it, but Prussia's pretty nice. Just sit tight, wait for the key events to trigger, ala slevig, franco-prussian war, and go nuts(hopefully). As far as prepping for war- make sure you have railroads from one end of the empire to the other, otherwise troop movement will feel as though it were a snail's pace. Factory wise, you *MUST* have machine parts factories asap- I forget what the tree looks like exactly for vanilla vicky, but look it up, and aim for machine parts factories asap. You'll also need canned goods and small arms out the wazoo, so you can increase your mobilization pool if you need to draft for war. As far as unifying into Germany, I think this page outlines the possibilities perfectly. Personally, I prefer the latter method of duking it out w/ france, but whichever, really.

Lessee, some basics.... Always keep an eye on Russia, unless you're started in the Americas. Really, they just have enough soldiers you don't want to mess with them unless its the Crimean war or similar dogpile. Get guns, get ammo, get food. This means getting the stuff you need to get guns and food- especially iron and sulfur. Chemicals will also be needed for any semi-complex economy, since they're used in a bunch of factories. Don't be afraid to turn some smaller powers into Satellite nations- so long as you don't think you'll need their resources. The first rule of Vicky is to watch your badboy- pressingF12, and entering "badboy" without the quotations will tell you your Badboy. Ideally, it would be kept under 20, but it almost must be kept under 32 or so, or else you'll get a lot of people declaring war on you for conquering so much. Relating to badboy, taking provinces doesn't give you Badboy, until you get to outright annexation. In other words, you can take all but one province from a larger, uncivilized country(like egypt, maybe persia, Korea), and take absolutely no diplomatic penalty. And speaking of which, one thing which isn't usually very difficult, and very, very rewarding, is going right after Korea. Its a giant cookie jar of grain, iron, and coal. Pretty much as long as you start civilized and in some degree of power(I managed it as Bolivia, once, but it was a bit of a challenge and drain to get it done), you should be able to snag it before Japan. Or you're Japan and it doesn't matter too much, but its necessary to grab Korea at some point once you civilize as Japan. Similarly, most major powers will get a crack at China- always worth it. Once Chinese province of coal or iron can supply nearly a whole European empire by itself.