Having created (and failed) a company in Germany, it is true that the bureaucracy and paperwork is especially tough and hard to understand. Administrative German is very hard to ingest. Once started rules of work and leading a company are pretty straightforward
Having created a business in Australia, Germany, and Spain, I think Germany was quite painless, once I found a local who was well-versed in german bureaucratic ways to assist me. Australia was a piece of cake. Spain, however, is...well...let's put it this way: I've been trying to pay income tax or corporate tax to the Spanish government for two years. In two years, despite my best efforts, they haven't made it happen.
Yeah, southern Europe in general is not easy to properly start a business in even for locals. I have some relatives who run a small business in Greece, and they have lots of stories about that. One of several problems in the country.
Denmark might be the easiest for foreigners: you can register a sole proprietorship free online, and get a tax code, within an hour. It's only in Danish, but simple enough Danish that Google Chrome's translation can handle ok: http://www.virk.dk/myndigheder/stat/ERST/Registrering_af_enk...
