Victoria is the game you play when you want to graduate from the EU games. Victoria 1 is set in a different time period, and is actually far more complex in a certain way. The focus is much more on economic matters. If you are at all interested in the time period, I would recommend Victoria 2, as it has a much more complete tutorial than Victoria 1 (by far the best out of the Paradox grand strategy games, in fact) and is much easier to get your head around
The short answer to your question is that they are set in different time periods and mechanically they are very different games (a reflection of the different time periods in which they are set).
And yes, with the right games, you can play a grand campaign from the start of crusader kings, import the save into EU 2, then into Victoria 1, then Hearts Of Iron 2. The save import software is all fan-made though, and is far from perfect.
Post edited March 15, 2011 by Al1