cw8: I have MoW on Steam during the discount. It's a much more challenging game, in terms of difficulty, and more complex than COH.
As for complexity for WWII games or heck even all games in general, nothing I've played thus far comes close to Hearts of Iron 3. Dying to get Europa Universalis 3 but I can't find the boxed set.
Don't expect Europa Universalis 3 to be a Hearts of Iron set in an older time period. I like the game a lot, but while HoI 3 is primarily a wargame with some economic complexity, EU 3 is primarily about managing your nation's economy.
The war aspect is much more basic.
Still, it's a great strategy game, like most of Paradox's games, provided you remember that their initial releases are usually very buggy, and that you're better off waiting for 2 or 3 patches and an expansion before buying it. That'd save people a great deal of frustration.