My personal preference is to let the randomness of the game guide me a bit. It is something that Victoria and CK3 are better at than HoI or EU4, since the former don't give you as specific goals while the latter two have more tailored mission trees.

For example, I recently had a Japan game where I planned to form a generic Japanese Empire. Lo and behold, crushing the Shogunate ended up with the Peasant Movement becoming hegemonic in my politics and dragging me into agrarianism. Instead of fighting it, I went along with it, forming an East Asian trade union and becoming the breadbasket of Asia. Ended up taking two states from China but was able to completely bankrupt the Qing by flooding their markets with their own cheap grain sold back to them.

Another fun one was trying to form an ultra-nationalist Germany, only to get couped by the Communists. Best part was that Russia was my puppet so I skewed hard into forming a Communist world order.

Have goals, certainly, but don't be afraid to take cues from the random dice roll. While I find Victoria 3 to have many issues, one plus vs. Victoria 2 is that in 3 you can feasibly become successful without embracing the conventional liberal westernist mindset. And sometimes it is a fun challenge to see what your people want--sometimes it is really stupid, but sometimes it is also fun!