The good thing is once you get the grip on the game mechanics behind one Paradox game, it doen't take too much effort to get into another one. This doesn't mean they play all the same. Though the concept of a historical sandbox is something they all have in common. And this is the nice thing: The starting point is historical, then the game develops its own alternative timeline.
A good and often very immersive start is to check out some of the AARs in the Paradox forums, or the ones you can find on here. Victoria 2's strategy guide, which you can download after you registered your game is also a good thing to get into it.
I am a huge fan of Victoria 2, I play it since it came out. To me it feels very lively due to the POP concept. Your population is not only a number, they change jobs, migrate, vote and sometimes those unthankful plebs even revolt.
Besides that, this is also an historic era which interests me very much. A great way to satisfy your inner imperialist - though EU3 is also very good for this.
And it really helps to set your own goals when you play a country, not just hunt for points. Conquer North America as communistic CSA, become a world power as Venice, be an industrial superpower as Haiti, invade England as New England, etc, etc..
AHD addewd very much, the 1861 scenario is not too good, if you don't want to play the US civil war, as you usually have a better standing if you manage a country by yourself from 36-61, but it added so many improvements to the vanilla game. (@ Stealhead: buy it!!! - you won't regret it, though check out the regular deals on Gamersgate)
The only thing I am missing in this game is some espionage concept.
btw, Safe-Keeper, as it's not covered in the tutorial nor guides: if you want to play as Norway in Vic 2, you have to start as Sweden then release it in the decisions tab in politics and klick on "play as..." - it works this way for any releasable country.