what about starting wars?
Colonization?
who are you playing with?

First I played as England and got in some wars and took over Scotland, but I couldn't manage to fight on the sea, even though I seemed to have the right "equipment". So I switched to another country, which had some weird name, not amongst the current countries. It was rather small, though.

On your first playthrough you really should choose bigger country. England is good choice. your inability to fight on sea is a problem of your inexperience with the game as they have strong navy (especially if you concentrate on it)
France is good choice, castille is great too (lots of evil muslims to slaughter, gives you room to expand)
Small country are slow gameplays and don't allow lots of warring nor do not provide money. it is for more experienced players i think (never tried it myself)

it is quite niche, hardcore game so don't expect to have awesome after every button press but after hours upon hours of preparing of slowly building your country

Do you have all expansions? They add -a lot- to the game. At least the first three are somewhat mandatory.

Don't have any of the expansions... I get that, it just gives me a very unpleasant feeling of repetitiveness early on.

yeah... you kinda need them. they do expand the game a lot. :) and remove some of the repetitiveness.

And if you get the game on a deal (which happen often) you pay € 7,50 for the package. I actually have EUIII complete (EuIII + 2 exp) + HTTT on Steam and EUIII Chronicles on Gamersgate, because at that point, buying chronicles (all expansions) was cheaper than getting the last one on Steam.

If you want something to happen all the time, Crusader Kings could be a better choice. I'll never forget the day my character explained to his daughter where babies come from and she got a permanent stutter. Trying to rule independent Moray while excommunicated was a barrel of laughs too.

Lol, this made me laugh.

I never did get the hang of this game, or crusader kings. Even after reading the manual (yes its true i read a manual) I didn't really know what I was doing.

Both these games might be overwhelming at first, but once you now what you are doing, they are among the best that is on the PC right now. Brilliant games!

This might help:

http://www.paradoxian.org/eu3wiki/Main_Page

This is what I want! Darn expansions.

If you want a good starting nation, pick Sweden. Paradox seem to have a certain fondness for this country, as it is in all their relevant titles, apart from in HoI, a good starting nation. You have enough to worry about to make the game interesting, without getting overwhelmed by choices. You are big enough to stand a chance against the big boys, with a bit of work, and you are located in a position that means that the big boys won't be breathing down your neck from the very start of the game.

Crusader Kings isn't an expansion, it's a completely different game. but I'd wait and see how the imminent release of CK2 goes, because if it's working well at launch it will likely be a much better game.

If you're going to stick with EU3, get the Chronicles edition with all the expansions. And watch some videos on Youtube to see what other people are doing. DEFINITELY check out the EU3 wiki (actually, check the wiki for any/all Paradox games) for more information and ideas of what to do.

All Paradox games tend to be what you make of them. You need to come up with goals and try to achieve them. But you need patience. Pushing for war without a casus belli will absolutely destroy you diplomatically, and a constant push for militarization will bankrupt your treasury. you have to remember that you're playing for hundreds and hundreds of years of history...take your time.

You really need Divine Wind, the latest expansion. Not only does it upgrade the graphics, but it also smooths a lot of the mechanics. Playing as European Nations it's most enjoyable to play in the Holy Roman Empire or adjacent to it, so there is always a considerable amount of politics going on.

The great thing about EU3 is that it's an evolving game, the vanilla version is already as outdated as Duke Nukem Forever and to really enjoy it you have to keep up with the expansions. I'm assuming you have already bought the original, but Steam usually has sales on it pretty regularly, so you wont have to bust your budget on the package. You will need to buy Heir to the Throne, EU Complete and Divine Winds, at a cost of £19.99, but that really isn't much, especially when a nice 50% sale comes around a every few months.
I don't know if it exactly easy, I always find it tough as hell to take out the Danish at the beginning, but it is one of the more enjoyable campaigns I would agree. Close enough to all the action to be fast paced, yet far enough away to not get Bohemianed.