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You play them all. How else would you know what you like?
Everyone will have their own rankings. Mine go as follows:
EU4>>>Victoria 2 and Stellaris>HOI4>CK. I don't like the CK series at all. The HOI series is too focused on war, too repetitive, and too limited in its timeframe to have lasting appeal for me. The EU series, the Victoria series, and Stellaris have held my interest far longer and been a lot of fun to play.
EU4 i've only started playing and can't answer to for the most part, although i dislike the random events in the game that constantly punish me from making progress in the early going. very rarely do i see a positive event come up.
HOI4, V2 and CK3 i haven't played. CK2 i have played and enjoyed the personalities and politics in the game, some delightfully absurd and devilish things one can do.
EU4 is just a clone of CK2 but stripped of the personalities and politics, that's just from early impressions.
Stellaris is on its own because it's a different genre, not based on earth but on a galactic level.
i currently don't have a favourite.
Interestingly, it's the other way around. CK is a clone of the EU series, which came first by many years. To make it more than just an EU re-skin in a different time period, they stripped away most of the complexity of diplomacy, expansion, and nation building and instead focused on dynasties. Some prefer the one, some the other. I'm very much an EU fan.
Also, Vicky 2 doesn't have the mod community.
CK III looks like it sucks, i play CK II. CK II can be fun, such as when your empire falls apart, which works with the fast conquests and isn't the same for eu4.
Also, Stellaris eu4 and CK II have custom nations in some way.
Id say, it's Stellaris, only bc of mods making it fun, Then eu4, Vicky 2 (cause speed and pops) CK II then HOI4.
1. Hard to care about characters, unless it's from an already established TV show or something like that. Now, i like to roleplay as an empire, but CK II characters are kinda generic, with not alot of interaction, and at the end of the day, there's only really two characters, you, and the AI. This is partly bc you choose or have some agency in traits your character gets,
2. It's the same thing over and over. eventually roleplaying as characters gets old both bc it seems like the same character over and over, and it's either you win against everybody or you don't. That's partly true for all Paradox games, but at least eu4 has coalitions, Stellaris has federations and mods for ships making it no longer just "battleship arty go pew pew", additionally, eu4 and Stellaris has things that shake up the game, eu4 has disasters, coalitions, external constant threats, institutions and Revolutions, Stellaris also has Crisises, Fallen empires, Galactic community politics, total war empires, federations, and mid-game crisis.
Aside from "great khans" that, in AI hands, takes over some weak AI's on the other side of the map then randomly implodes, and Crusades which is just "guess ill go send some troops maybe for some random provinces that i don't care about" and occasionally adventurers.
CK II is just the same "kill other nations, kill characters, stomp some vassals" for all eternity, aside from borders maybe, nothing really changes.
That's why, with mods, Stellaris is my favorite, it combines a bunch of internal stuff (more so with mods) POPS and empire management, with roleplaying, somewhat.
With mods, version rollbacks and so on: EU IV > CK 2 >>> HoI IV = V2 > Stellaris >>>> CK 3
Stellaris version 1.9 with some mods that in particular make space defenses actually usable is, IMO vastly superior to the current version while EU IV has dropped a fair bit since 1.30 mostly due to the massive performance drop but also due to some stupid changes. V2 would rank higher if the influence system wasn't 100% unfun drudgery. CK 3 is a steaming pile of dumbed down junk.
Hyperlanes only is for people who can't think for themself and decide what's important to defend without a blaring signpost of DEFEND HERE on a choke point. Every space 4x I've ever seen that is lane only has sucked and Stellaris 2.0+ is no exception...
Ya instead of hyperlanes only lets have cheezing AI with wormholes or letting them run amok like a chicken with it's head cut off leading to chasing AI ships in a neverending game of tag, and don't fool yourself, defenses is pointless, would be better to make more ships.
I don't see the problem with actually having chokepoints you can defend, or how it's for people who "can't think for themself" just because i don't think i should need to plop starbase space castles on every single rock.
Stellaris is the most flexible of them all.
HoI4 can get real wacky.
EU4 is always a safe bet.
Vicky2? Waiting for 3 at the moment.