Not that Sweden wouldn't be a nice faction- but I do believe that the Danish King Christian IV had the leadership of the "protestant"-armies. Even though he sucked ***** and lost so much(And was a terrible king in Denmark)-he did afterall have the leadership.
He lost because of the great outnumbering "catholic" armies- but the northern armies fought well, which led to large casualty-numbers on each side. Fortunately for the "protestants" was that the Swedish king, Gustavus Adolphus II, came in when the war was at it's worst.