AFnord: Actually, I've found them to usually be quite lacking. That is why there are things like wikis that explains everything, not only in more detail, but also more accurately than the Paradox manuals ever did. Also, Paradox is quite keen on offering "strategy guides" "beginners guides" or whatever they decide to call it for any given game, which basically works as second manuals, often plugging the gaps of the original manual.
Still, they are far better than their older manuals. Anyone remember how utter lackluster the Victoria 1 manual was?
I often go for AAR (after action reports) on Paradox forums. Usually created by members, they are nicely written guides on playthrough as a particular country. They are not walkthroughs or anything, but they give you a nice tip how you should start, on what should you pay attention in early game, etc etc.
Maybe the manuals are differentiated from country to country but HOI2 manual was brilliant. Tons of pages with small text explaining almost everything.
I usually don't like using Wikis or Fan Guides, because I find them exploiting. I don't want to dig into game files to figure out that "choosing this will damage your reputation by 5 points" or "your ally will always agree with you if his opinion about you is above 75 points". It spoils all the fun and "immersion" for me.
SimonG: Also, Paradox manuals are pointless after the first expansion anyway. I find it quite hilarious that they still offer the tutorial in EU 3.
But they (usually?) support you with an expansion manual - guide. There was one for Divine Wind if I recall.