One of the hardest parts that I found was understanding all the focus trees. They can be pretty overwhelming at first. The general structure is this though:
1. Army tree - series of 70 day research slots for army buffs.
2. Navy tree - series of 70 day research slots for navy buffs.
3. Airforce tree - series of 70 day research slots for airfoce buffs.
4. Democratic path - building relations with the allies
5. Fascist path - building relations with Germany, Japan, Italy.
6. Communist path - aligning yourself to the USSR
....generally....
They can be quite hard to pick out and often requires a careful read-through of each nation, and each one is different to the other depending upon historical considerations (i.e. USA isolationist at the start of the war so they are difficult to get into the war from day 1, Germany gaining war goals on countries like Cze or Poland, UK has lots of choices regarding the management of the empire, etc.).
Then there are lots of Balkan and Bosporus states, where frankly, I don't have much of a clue yet! Only dabbled in those, but they are significantly more complicated - stay away for now.
I started with the USA because they are a massive nation, largely protected by oceans with no aggressive neighbours and can allow you the time to understand the mechanics of the game without any undue pressure. You can then pick and choose your moment to get involved in the war and help the allies out (before its too late mind you!!). They also have a big navy and lots of Pacific island jump off points.
Italy isn't too bad either, but they often come under attack from the British and USA (eventually, once they start naval invading France/Med).
Not had chance to jump back onto Communist UK - will try again this week! Its an interesting one though! I always find that when you try and help the USSR out (as any nation) they are just terrible against Germany and nearly always lose - you would have thought the added pain of Germany having to fight another country in the Comintern would have made it easier...but it doesn't!