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One, make the game harder for yourself. Pick weaker nations, increase the difficulty, limit yourself from using features you might find too powerful, like loans or exploits.
Two, make weird goals. Sure England is an easy country to play but if you make it your goal to control all of Europe through Vassals and never own any territory outside of the British Isles things get kind different as you progress.
I generally find that the games I've enjoyed the most are the ones where I set very specific goals and rules for myself. This might also be because I tried VH once and I am not likely to ever try it again. :p
The early dificulty of these games is almosy entirely based on the fact they apear to be very complicated due to all the stats etc, but once you learn the mechanics its gets easy very quickly.
I bought EU4 recently after enjoying CK2 but having watched some Arumba videos i cant be arsed to even play it because it just looks very sterile, dice rolling boredom.
when u get a bit better your just trying to do evrything more perfect to get enough land before 1821
Roleplay and goals can add to your interest. I also pay close attention to other country's wars because I am interested how they will end.
It's all about house rules, or mods, in PDS games. Once you get a good grasp on the numbers and mechanics, a lot of the difficulty is lowered and it can really get into a crappy spreadsheet, by the numbers type of game. I like CK2 far more than EU4 in this regard, because you can really sit down and roleplay your characters to help avoid the munchkin type playing that tends to happen. EU4 is based off of a board game (the series is, way back), so the dice rolling, number crunching play is more pronounced.
I find PDS games are all a hell of a lot more fun when you don't min-max every decision anyways, and EU4 can be pretty punishing if you don't min-max.
OP - There is no shame in restarting once you've "won" (or are bored). That's the joy of these open ended grand strategy games. You can just restart as someone else, or even the same country trying something else maybe. I've owned CK2 since release over 5 years ago and reached the end date for the first time a couple of weeks ago; usually I played a few hundred years until I had reached my goal or was blobby enough that I didn't have any real enemies left. I've "finished" EU4 more often because I usually play smaller, slower starts and don't play super efficiently, meaning that it takes me longer to get to my end goal... usually around the mid- to late-1700's, and then I just tend to ride out the last few decades on speed 5.
Use the achievments to set your victory condition. This is the only reason I still come back to this game after all these years.
Case in point, my achievement(s) yesterday playing Pate:
http://steamcommunity.com/sharedfiles/filedetails/?id=909777073
It was only the last 50 years or so when I speed through the final mop up phase (especially waiting on the 25 year religious fervor timer to expire). Pate is an exceedingly difficult nation with which to get this achievement. Oman is far easier, but I did it the hard way as a challenge.
Really nice. Oman will be my next game once I finish my Coptic Ottomans -> Roman Empire game.
Let me give you a big hint. Najd has incredible national ideas for converting land. They also seem to always take the religious idea set. Therefore, you want them as a vassal (march is much better) and force convert them to Ibadi, especaiily if you can do this by winning a war. They also are very good about claming land from heretic neighibors for an easy CB.
Then, feed them land and they will convert everything for you! I gave them all of Persia throughtout the run.
Also, look for neighbors who took the religious idea set. They are your friends. Hungary helped me a ton to take out the Ottomans. I never worried about giving them Sunni land since I knew they would eventually convert it for me. I kept Constantinople simply to get the Dar al-Islam achievement but gave them a lot of other Greek and Turkish lands.