There are a few differences. EU I does not have some features like sliders for domestic policies, and missionaries, just as a few examples. Also, you can only play as certain default countries, however, that can be undone by using certain mods. You can also annex a whole nation during war (except for the default majors, IIRC). You also can get victory points by successfully completing missions.
The AI in EU I is somewhat different, and is arguably better in terms of colonization and war across long distances. I may be wrong, but I believe that this is because AI has less to work on in EU I, it is easier for it to work with the countries which it does focus upon.
If you like EU II, EU I is certainly worth it, especially at its low price on Gamers Gate. It may feel like a step backwards, because some features do not exist, but it may also be great fun because there are many scenarios, and major powers are more challenging to play than in EU II.