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http://eu4wiki.com/Diplomacy#Annex_vassal
The second way, the one you mentioned, is to claim their throne. If you enter a royal marriage with another country, given time you'll share the same dynasty (you can see that by hovering over your king). If that happens, and the marriage has been stable for 50 years, you have a chance to inherit the whole country. This is somewhat rare, though. You may also claim their throne by force - if their king is without an heir and your prestige is higher than theirs, you will get a diplo-option to claim the throne. This should give you a causus belli to take their capital. Go to war, occupy, then demand they enter a personal union with you. This will make them your lesser partner (your king will rule over them as well), which is basically a vassal forced to help you out no matter what. Very useful. Then, after another 50 or so years you will get the diplo-option to annex them. This will take a long time, depending on their size, but can basically be done with any nation (I annexed both Great Britain and France in a Spain game). After this process is done, you will have complete control over the entire country, as if it has always been yours.
Note that for any kind of diplo-annex, you will get cores on ALL their provinces after the process is done, though the culture will not change.
I've never annexed a union or vassal and not had every single province I received be a core. Even when I sold them other conquered provinces. And this is post-patch, where I've been dismantling France entirely via releasing vassals from them.