Ok, so by default we're starting with forming Germany :)
Short guide: Start as Prussia, defeat everyone, form Germany :)
Form the nation of Germany
Different formables in Victoria 3
A set of different formable countries in Victoria 3.
Achievements
Relive history by playing as Sardinia-Piedmont and conquering all the other Italian nations.
Form the nation of Italy
If you like a challenge, forming Italy as the Papal States is definitely one. I couldn't do it so far.
As the Papal States, become the Roman Republic and then form Italy
Start as Gojjam and slowly conquer all the other ones. Keep track of your infamy level and wait until it resets after each conquest. Otherwise Northern neighbors will want to intervene.
Form the nation of Ethiopia
An easy one. Leads to Federation Day by forming Federation of the Andes.
As Bolivia, successfully form the Peru-Bolivian Confederation
Continue playing your Bolivia campaign.
Form the Federation of the Andes
Start as Sweden, immediately fight Denmark (you might need multiple wars, my approach was: take Zealand in the first one, make Denmark a protectorate in the second one), afterward conquer Schleswig-Holstein and Lübeck. Click form Scandinavia.
Form the nation of Scandinavia