I did an Ottomans world conquest finishing in 1478, for an indication of my continued investment in the game, heh. Lots of cheese, birding and exploits in that one, though. Like you said the game becomes easy in time so I've made the challenge in being how fast I can do certain things or forming a bunch of nations to stack their modifiers.
Very hard makes the early game more difficult and sometimes more interesting because the AI get huge manpower and forces limit bonuses. It forces you to improve your army micro because you're in a meat grinder. However, you're constantly having to fight so many armies, even for nations that are much smaller in development. For me, it's just not fun because it makes every war a slog.
Bonuses on hard are not as big a deal and it doesn't feel too much different from normal but you do generally have less friends to rely on.
Aztecs has a powerful mission tree, good economy, and room to grow with a good CB and American frontiers (colonized every neighboring province -- imagine that after taking down NA natives). Also has a monument that removes coring distance. A lot of exploity/gamey mechanics you can use. I've played them two or three times and you can actually get their mission tree as any nation with hijinks.
For African nations, there's a few interesting ones. Mali has probably the worst disaster in the game at start so a fun challenge to get through. Kilwa has good gold economy and colonizing. Kongo has a very nice mission tree and can be formed by others. Pretty easy to get going against other Africans and then prepare for the real battles with Europe/Otto's.
Oman in middle east is a fun trade power playthrough with some unique mechanics. A number of the small or OPM countries in the caucuses/ME are interesting and fun. Trebizond, Theodoro, hisn Kafya, Ardabil, Armenia... All are good campaigns with some tough starts for a challenge.
India is pretty shit overall.
Majapahit is fun with a nice mission tree that can allow you to vassalize any size nation (but you need to prepare to handle liberty desire from that).
Japan has the Shogunate which allows a kind of vassal swarm and a start that can be tough but rewarding. A lot of paths to take with them.
Definitely try out a Horde to see how broken they are. Oirat is the classic but Teutonic Order has access to razing while still being European and a theocracy.
And lastly a pirate Republic. Gotland, So, or Cornwall would be good starting nations for a pirate but you can form a pirate with many nations if you meet conditions and are small. Great imperialism style CB, razing, and raiding.
