Wesker: Please note that Paradox (once a pioneer of drm-free distribution) plans to release most if not all of their future games with Shit-eam. This is what they have done with March Of The Eagles, and what they will do with Europa Universalis 4.
To be fair towards Paradox, all of their games primarily use Steam as a store and don't use the DRM CEG component of Steamworks. If you wanted to, you could play them without the client (although you have to go out of your way to make it happen) and I'm sure future games will be the same. For most people, that's probably an acceptable compromise. The only people who are screwed are people like you and me, who don't wish to support Steam financially on principle. Thankfully, it looks like at least
East vs. West will still have a non-Steam release.
In any case, I got into the series with EU III: Chronicles (although I have the retail version, so I can't confirm how the Steam version works) and I can confirm that it's a great game and a good entry point for newcomers. It
does take some getting used to, but once you've played it for a bit, you'll realise it's not as scary as it looks.
One piece of advice I can give regarding playing the game is to watch your inflation. Especially if you are playing a non-Westernised country, inflation can become a very serious problem if you're not careful. Unfortunately, there aren't too many ways you can deal with inflation before you've developed a lot of Goverment tech. However, there are at least three things you can do: hire a really good (5-star) Master of the Mint as your advisor, avoid relying on minting extra money as much as possible and be conservative in your territorial expansions. You won't be able to avoid minting entirely (afterall, building up and maintaining a large enough army can be expensive), but if you let your yearly taxes take care of most of your financial expenditures, you should be able to keep inflation relatively low.