There are four nationalities to choose from. You pick one when you start the game, but it is not unknown for a pirate to turn on his own nation if he gets a better offer from somebody else!
English is one of the easiest nationalities to play. You start the game with friendly ports in highly useful locations, and since England is almost always at war with Spain, you can usually gain quick English promotions by attacking Spanish vessels and cities.
France too has a number of strategic ports - Tortuga is a great place from which to harass southern Cuba - and she's often at war with Spain.
This is not the easiest nation to play. The Dutch have far fewer ports than the other nations, and they are not quite as often at war with their neighbors, so promotions can be hard to come by.
This may be the toughest nationality to start with. Spain has by far the most ports on the game, which leaves you fewer targets to attack (a problem only if you wish to remain loyal to Holy Spain). Likewise, the best target vessels in the Caribbean are often Spanish: if you want to remain loyal, you'll have to make your fortune attacking the less wealthy English, French, and Dutch ships. On the other hand, Spain is nearly always at war with somebody and privateering can be extremely profitable.