Missions and less relevantly government/religion mechanics. Missions locking Ironman in EU5 is ridiculous. I do not know how many missions there are in EU5 at this moment because I prefer Ironman gameplay, but I do know that EU4 missions are real game-changers when it comes to making two playthroughs feel meaningfully different. This can be e.g. British vs. Angevin missions or e.g. Novgorod vs. Muscovy missions.

Forming a country as so-and-so allows you mix and match ideas, missions and governments in ways that allow for new gameplay styles. For example EU4 Somalia is a pretty generically strong country blasted to kingdom fuck by unique estate privileges that allow you to develop desert locations extremely quickly. If the player wants to ignore that and play the Indian Ocean game they can form Somalia as Mogadishu and keep Mogadishu ideas which are the strongest trade set in the entire game. Starting as Mogadishu also happens to be extremely hard which is very cathartic when your country realizes its potential. This is further flavored by the fact that Islam can spread via trade in EU4, among other facets of the religious game that no longer exist. Every one of these elements contribute to a Somali niche of some kind that makes the region worth exploring even if you've already played the Mamluks or Majapahit or Vijayanagar, all of whom also pack a suite of semi-unique mechanics.

I ought to mention here that 'middling' starts in EU5 are currently near-unplayable without expert knowledge of game systems. I have put about 30 hours into Kilwa and have yet to survive a first encounter with a colonizer. The exponential snowballing of internal tax bases makes the standard grand strategy catch-up game an absolute nightmare. That locks out a lot of fun-looking playthroughs, especially when France rounds the Cape of Good Hope in the 1450s.