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First install the latest beta. Then I'd say Bohemia (is a Duchy in 1066), Poland, Apulia (also a Duchy but fast a Kingdom), England, maybe also Scotland or Castille. But this depends on where you like to play.
 
Agreed. Get the latest beta, not to mention maybe some cool graphic add-ons which vastly improve the game, IMHO. Apulia and England are both good choices to begin with, as could be Normandy, as you dont have too many provinces at first and yet still have a couple of vassals to manage, and can inherit a kingdom pretty quikcly once you get the hang of the game.
 
Also Poland is not such a bad choice - plenty of pagans alongside Baltics gives you many opportunities to learn how to wage wars :D