OK, you asked for 4 factions. I would recommend (all on normal, early):

1st: England. This faction has a good strategic position, only really threatened by France. This means that you don't have to worry about too many things. Pump up your garrisons in France, try to get an alliance with her and you should be free to fight rebels (Welsh, Scots, Irish etc). Sooner or later war with France will come, but it should be later. The only hiccup is that you must build a fleet to link up your French lands asap, but building fleets is the key to victory in MTW (massive trade income). The advantage of England over Denmark is that your faction is big enough to build up economically without having to be overly aggressive. England is a good faction to play on glorious achievements, as they get some fun ones (as does France). Crusading is fun.

2nd: Byzantium. This will be fun after England because you have very different and arguably better troops (make Biz infantry + Trebizonds your core, leaven with VG and Kats), awesome leaders, plus you are right on the opposite side of the map. The strategic situation is more tense, with the Turks busting for a fight. But the faction has enormous potential.

3rd: Egypt: This will give you a taste of Muslim units. Pay special attention to Saracen infantry and Armenian heavy cavalry. Like Byzantium, you start off with a position of great potential - especially for trade. The Almohads are a good alternative Muslim faction - the Turks may be a little hard on early.

4th HRE: This is arguably the "ultimate" Catholic experience. The units are the same as the English ones (but pay attention to mounted crossbowmen) but your strategic position is one of being under siege - Italy, France, Hungary, even Poland and Denmark may want to take a bite out of you. I still find it the most fun campaign - just trying to keep my head above water.

If you play all four campaigns, you will be a MTW vet with a good knowledge of the game. (Don't be afraid to quit when you get too powerful - the end game is very hard work for little reward).