Gamespot had this to say about them, leaving me wondering...
Europa Universalis: "It's as deep and broad as you would expect from a great strategy game, but Europa Universalis III's most notable achievement is how easy it is to get into... intuitive interface and tutorials bridge the gap between depth and ease of use"
Hearts of Iron III: "Much more accessible to the masses than previous Hearts of Iron games... Reduced micromanagement and streamlined automation make Hearts of Iron III an absorbing game of grand strategy."
Victoria II: "Thanks to a friendlier interface and tutorials, Victoria II is a lot more playable and enjoyable than its predecessor... Full suite of tutorials walk you through most of the basic concepts... Still daunting for those who have never played a Paradox strategy game"
Crusader Kings II: "Lackluster tutorials."
They did like all four games, those are just snippets about ease of learning, etc. But after reading what they had to say it left me unsure about a first choice.
AFnord: I would recommend staying away from Victoria 2 until you are more familiar with the genre. It is a great game, but probably the hardest of the lot to get into.
Hearts of Iron 3 is also pretty tricky to get into. Not because it is as mechanically colmplex as Victoria 2, but rather because there is so much to do, and it handles military matters on a far more detailed level.
EU 3 is probably the most "standard" one of the lot. If you know how to play EU 3 you can apply that knowledge to any other Paradox title.
CK 2 is the easiest one listed to get into, though it also has a different focus. You are not playing a kingdom, but rather the head of a noble family, so court intrigues and handling your subjects/vassals is part of the game's focus. And actually keeping track of all the important (to you) noble families and nobles can be a bit overwhelming, though the tutorial is quite good.
I would actually recommend that you start with Hearts of Iron 2. It is not as overwhelming as HoI 3, and due to the military focus, it is a lot easier to know what to do and focus on because you know that you need to build an army and fight in the war (unless you play some backwater country).
Thanks. I saw your post after I posted the above quoting Gamespot.
