I've never played a serious HRE game before but my opinion would definitely also lean towards the blitz Denmark lobby. The key provinces seem to be Saxony (after Denmark is gone), Burgundy, and Venice (by getting rid of Italy). Getting all three of those, even if it results in bad borders and loss of provinces, would let you turtle and power for a while.
Or, less ambitiously, skip Italy and just get Denmark and hold onto Scandinavia (yay Sweden!) and the northern provinces. If you have a choice as to which of your neighbors will take your sacrifices, in that case, Italy would be a good choice for that too as for Papal reasons, you can often afford a strong mid-game Italy.
This is of course, unless you're playing GA in which case I suppose there's some obligation to hold onto homelands. :p
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