Depends on the game I am playing. If I am planning on playing with just a single club then I only load that nation, and then add players to make the database bigger...
Custom: Large + All Players Top Div Europe, All Players based in my Nation, and then maybe some random countries as well to increase the rare players.
If I am planning on being a journeyman in my save then I generally load 5-6 nations all leagues, though try to not have more than 15 total leagues loaded (Goes really well on my laptop). If after a season or two you decide you want different ones you can always add a different one and remove the current one.