Python 284 266 256 243 242 240 char
I wanted to try recursion, I'm sure it may be heavily shortened:
r=range
def f(n):
if n<2:return[[4]]
s=2*n-1;z=s*s;c=[r(z-2*s+2,z-3*s+2,-1)];e=1
for i in f(n-1):c+=[[c[0][0]+e]+i+[c[0][-1]-e]];e+=1
c+=[r(z-s+1,z+1)];return c
for l in f(input()):print''.join(' *'[all(x%f for f in r(2,x))]for x in l)
edited under suggestion in comments
