Here is a thread where you can post EU4 related songs (people, places, events, movements, etc.). A welcome break from all the "Day 1 DLC" threads if you ask me.
Conquistador - Procol Harum 1967, good classic rock song
I like to listen to Gregorian chant at the beginning of EU4, progress into Rennaisance/Baroque, then Rococo and Classical, and finally a bit of early Romanticism.
Here is my favorite Bach piece. Fits in very well while conquering Europe as Prussia in the 17th century.
Brandenburg Concerto No. 3 - I: Allegro Moderato