This can be pretty challanging even in single player if you play as a one of the more difficult countries. I would however recommend starting out with one of the easier countries as the learning curve can be a bit steep. There's quite a few concepts to keep track of in the game and if you're unlucky you'll end up as a one province vassal to France or something the like. Once you get the hold of it you can start setting your goals higher and higher. Or just do crazy things like playing as Ming and explore your way to Euroupe with the goal of converting all the members of the Holy Roman Empire to confucianism :)
And it gets even better in multiplayer with a few friends, provided you can get them all together for a few hours of play each night.
Also, as someone posted above: EVE online.