Bengal is one of the best non-European nations to play, and excels in that very key area: excitement. Too often, straying far from Europe results in dull campaigns punctuated with long bouts of idleness. Fortunately, Bengal is so strong and has so many options available that it doesn't suffer from this ailment.
Bengal is a regional hegemon. It has a Muslim ruling dynasty, a center of trade in the Ganges, an inexhaustible supply of manpower and an ideal geography, situated in plains surrounded by Asian minors which also provide a small buffer from China. Almost every possible route you could take in playing Bengal is possible and quite easy, meaning you'll likely be multitasking rather than waiting for some primitive technology to finish.
Its primary strength lies in its population. Bengal is easily one of the most heavily populated states in 1419; the natural consequences are such that production is almost always high, your tax base is very stable and your reserves of manpower are virtually limitless. Unfortunately, this isn't so much a boon in South East Asia as it would otherwise be, as most of the other states have comparable levels of population. Bengal does, however, have excellent resources: spices, chinaware, tea, cotton (which will reach a drastic increase in value later in the game) and others.
The Muslim character of the state is both a massive advantage and a grave problem. The Sunni Muslim tech group prevents Bengal from trailing too far behind its European enemies. On the other hand, none of Bengal's provinces (and none in South East Asia, for that matter) are Muslim; this has extremely important economic and political consequences, the most dire of which being the loss of almost a third of all of your tax revenue and a much higher chance of revolt in the case of instability. Probably the most difficult problem you'll face will be this one; conversion is extremely expensive and the chances are narrowed by the large Bengali population.
If you take a look at the surrounding area of the fledgling Bengali state, you'll notice how many of the provinces have Bengali culture, even as far as China. If you have dreams of conquering the Indian peninsula, the best option is to spend the first century uniting these provinces into a empire stretching across the Bay of Bengal.
The weakest and most obvious target is Orissa. You can either diploannex them or finish them in two subsequent wars. They'll also hand over a small fleet including transports, which can become incredibly useful later on. Ensure that either during or after conquering Orissa, you clear out the natives of Palakmedi and begin colonisation; it has a high base tax value and provides an early extension of Bengali power into southern India.
You'll want to keep your armies within the boundaries of your small economy for the moment. This certainly isn't a problem when fighting Orissa's negligible forces, but Bengal shares borders with a lot of powerful countries. You might want to prevent becoming bogged down in Indian land campaigns by choosing an ally between Vijayanagar and Hyderabad at this point. This can generate just as many of these types of wars due to constant conflict between the two Indian states. However, you can usually avoid involving yourself and maintaining a minimal border force while retaining the benefits of having a strong ally, and, should the enemy appear weak or unguarded, you can carry out some synchronized looting. Hyderabad is probably the better strategic choice of ally, especially if you intend to use the strategy just outlined. Don't take any non-Bengali provinces. It can potentially cripple your game.