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EU: The Baseline. EU came first, and every subsequent game has had to distinguish itself from both the EU series and each other. Why play HOI, or Vicky, or whatever if it's just an EU reskin? Over time, EU has gotten deeper and more complicated (which I love) and has also become more of a sandbox (which I have mixed feelings about). The earlier titles forced both players and the AI down a more historical path than EU4 does. I personally feel the balance has tilted too far in the sandbox direction, but I'm clearly in the minority. We'll see how EU5 works.
HOI: The Wargame. Given its setting and short time frame, what else could it be? HOI, too, has embraced alt history in its current iteration, which I think is a mistake. There isn't enough time for many of its possible political changes and alliances to make sense. But the focus remains war on a grand scale. You're not a field commander--you're the Pentagon or Stalin or whoever--but you prepare for war for a few years and then you fight like crazy for the rest of the game.
Crusader Kings: The RPG Hybrid. I also refer to it as EU for Dummies. Economics, trade, warfare, and most forms of diplomacy were massively over-simplified in order to focus on dynastic roleplay instead. Some complexity seems to be creeping into the series, though. Perhaps I'll like a future version, but for now, it's just too easy.
Victoria: The Pop Game. Vicky 1 didn't stand out enough. It covered the time between EU and HOI but had few compelling mechanics differences from either. Vicky 2 changed all that and was the most important title from Paradox since the original EU. This is where Johan and his team first introduced the Pop mechanic, which has since spread to many other titles. By comparison, Vicky 3 is a dumbed-down failure. Taking control of the military out of player hands proved to be its largest (but not only) error. Note that Johan was not involved with Vicky 3 and has said that EU5 (Project Caesar) will NOT follow its warfare model.
Stellaris: The Traditional 4x. Stellaris launched as a standard space 4x, and a good one. Note that it was later reworked to include pops, a feature that some enjoy and others loathe. I'm indifferent to them in this setting, myself.
Though all these franchises initially tried to be different from one another, they're starting to lose that distinctiveness. Pops were introduced in Vicky, spread to Stellaris, got incorporated into Imperium Romanum from the start, and will be a big part of EU5. Alt history has spread from EU4 to pretty much every title. Some CK dynasty-style mechanics will appear in EU5. And so on.
Finally, the EU series is by far my favorite. It has (to me) the perfect balance of warfare, diplomacy, nation building, and history.
While the HoI-series is all about warfare and managing the OOB; the EU series is about...well, warfare and managing your nation. The emphasis being on the nation management part, though.
If you're head over heels into the warfare part of HoI, chances are that you will be bored with EU 4. If you, on the other hand, think that HoI could need more nation management stuff (be it developing your country the way you see fit or engaging into diplomacy, colonizing, trade and religion), then you should give this game a try.
Not to mention, that, in my opinion, HoI4 is the weakest part of the HoI series and thus naturally inferior to EU 4, but that comes down to being spoiled by HoI 2.
Ah, and btw: Liked your acting in Full Metal Jacket.
For Paradox games I'd really just go for the time period you enjoy the most/the core mechanic you're interested in (HoI for modern war, EU4 for global exploration & expansion, Vicky for the economy)
CK is weird. I wouldn't even really call it a successful dynasty or RPG series (although it has both). To me, CK shines by being the most random grand strategy games where things can simply happen without a lot of reason. It's the only Paradox game (outside of HoI) where I've seen the ai take over all of Europe and it felt like it happened purely by accident.
This is how I feel too
EU4 is quite repetitive you can play the missions and the empire building they are fun but its very slow, and the estates are annoying. Its mainly a game about conquest as there is very little to do otherwise. And you still have the annoying ping ponging armies to deal with.
Victoria 3 is very immersive dealing with the economy, politics, pops and the laws. And Vict 3 remains the only Paradox game that is still fun when you are not at war. And Vict 3 doesnt have the same combat mechanics as all the other games so its refreshingly different.
I turned myself in to a Habsburg empire in WW2! Im Habsburg empire in WW2! Just be impressed!
Civ? Friends for 1/2 the game and then denounced for stupid reasons.
Endless series? Shallow.
AoW? Don't even get me started. xD
Yes take a look at this list its pretty damn extensive but its taken a heck of a long time for the game to get there:
https://eu4.paradoxwikis.com/Diplomacy
I would say that Vict 3 has it at least equalled in the diplomacy stakes, and without the myriad of dlc. I dont think you can do royal marriages (I dont think they were so much of a thing in the 19th Century) but everything above plus tariffs, foreign development agreements, stating interests in countries. You dont create casus belli but you do create diplomatic plays that then can get other countries involved on either side and develop gradually into war. It's a pretty deep and rewarding system.
Easy enough, just roll back at least as far as 1.30, if not further...
Or play mods.