I had an impression that in CK it would extremely hard to do Europe Conquest (EC for short) because the game is not about building your empire, but about building strenght of you dynasty - about making it famous, prestigeous and wealthy. So I have impression that you can _dominate_ over Europe, but conquering it will be extremely difficult, or maybe even developers will make it impossible? I may be wrong, but that's the impression i got from FAQs and previews.
But going back to the topic, i will go for any country, preferably my own :-D in scenario in which Mongols will go for European throats. Trying to unite quarelling and egoistic vassals against all odds including random events (unprovoked revolt in Danzig. Oops, wrong game) should be fun. At least for me.