First I unified Romania, starting with Moldova as soon as I could, then I conquered Hungary, except for Szolnok - capital (I was lucky Austria went at war with them in the same time, otherwise I don't think I would have won). Then Austria declared war on me.
While I stood absolutely no chance against Austria (probably 2nd most powerful in the world at the time), they were at war with France at the same time (probably 1st most powerful in the world

). So I managed to occupy 4-5 of their provinces before they had the chance to bring troops back from the low countries. This got me the provinces of Ersekujvar (old Hungarian province, the one they got after the war) and Krain.
Once I had Krain, I had access at the Adriatic Sea, and I started conquering Italy. This was probably the easiest part of the game, as they were all fragmented, usually 1-province countries with armies of usually 2000-3000 people, constantly fighting each other.
I was super annoyed at Castille getting 1 province in eastern Italy and Aragon getting Calabria, Apulia, and the island of Sicily, but there was really nothing I could do about it.
Then the HUGE Lithuania declared war on me (probably because of a high BB-rating) and so I conquered them. This was a looong and painful process but they were at war with Muscovy too so it could have been much harder. They still have 2 provinces left... And there's also a bug! You can see 1 province "occupied" by the Russians, but Muscovy is at peace with them now.
The 3 states in the Balkans are not taken from the Ottomans, they are taken from Venice, which somehow managed to get those from them though they were pretty strong in the time. I had only 1 open war with Venice, only 2 years after a 30-year alliance and great relations. They gave up 2 of the provinces, and I forced the independence of Bosnia, which I conquered later.
Now I'm going to start moving into Germany...

I'd love to take the Balkans from the Ottos (especially since they are already my religion!), but Germany is so much easier, with their fragmented states.