I think most people will learn something new from this thread on the somthingawfulforums:
How the hell do we play europa universalis 3?
The OP takes different nations and lets you watch his progress through screenshots and comments. In between his game updates people post questions and he answers them. If you want to read just the OP's posts you can hit the ? next to the date in the left column.
He plays as many different nation types to showcase the differences in strategy.
He has also posted how to get the in-game message system to behave better, and has included his own configuration for people to download.
Definitely worth checking out at least the OP, it's great!