It really depends on your playstyle, everybody has a Paradox game that "Clicks" with them while others they may not get on with, probably one of the better features of Paradox games, they all compliment each other and each has a different time period and playstyle to go with it.
CK2 is nice if you want to play a character more then a country and interested in Feudal Politics and dealing with family members and both internal and external politics.
Eu3 puts you in control of a country as the world starts to move away from Feudalism, the formation of Empires, colonization, centralization, etc. Not really my favorite as its quite hard to start from nothing, unlike Ck2.
Victoria 2 is about industrialization, economics, politics, new ideologies and new types of warfare, (Including trench warfare) Building factories and what not.
Hearts of Iron 3 is armed forces management, little politics, little economy, just very detailed management of armed forces on a grand scale, Where to send your tanks, what units to build, what brigades to form your divisions out of. Its kinda overwhelming for me since not only do you have to manage an entire army of units but you have to manage their headquarters, and try to keep units in a certain group together and it just gets annoying. (Although the situations that can develop can be entertaining as hell, like the biggest front in the war being a vicious back and forth over India which is eventually stopped by Germany invading America.
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