Of the games in the series we have now (and of course only in my opinion

):
- CK2 is the most polished/balanced of the 'modern' Paradox titles, but oh those lists of characters. I get list fatigue playing it after a while. I can't play two games of CK2 back-to-back because of it. If they could solve this problem it would be a contender for me. If you don't mind looking at lists and lists of characters, a clear winner

.
- EU4 is still finding it's feet. It's a great game, and I prefer it to CK2 because the UI better suits the gameplay (far fewer and shorter lists, woo

), but many of its gameplay systems aren't quite settled yet, and it's changing a fair bit each patch. What EU4 offers now is a bit different to what it offered two patches ago (whereas CK2 is a good deal more stable in terms of gameplay arcs). EU4 is also a bit easier than CK2, although both require a degree of self-handicapping even if you start off in a weak position, if you're not looking to be uber-powerful.
- Vicky 2 is complex, and the UI is a bit old school (oh, imagine a Vicky with more modern design sensibilities) and the economic model has some conceptual holes in it (prestige rather than price as a way of determining supply, no substitution effect and fixed (and declining!) money supply) but it still works well (better than EU4's trade system imo) and the game itself is a gem. It's got the deepest gameplay and the most dynamic, interrelated systems of any PDS games, and for me dynamic, plausible interrelated systems are what make strategy games great

.
- HoI3 had a troubled start from which it never recovered. It's my favourite PDS series, but HoI3 just has too many issues with it to give it the top nod unless you really, really prefer WW2 over everything else.
- March of the Eagles is great if you're looking for something a bit less deep (warfare is a little deeper than all non-HoI PDS titles, but everything else isn't) and shorter.
So, at the end of the day, if you were looking for a deep strategy experience and didn't mind the UI being a little dated, I'd recommend Vicky 2 first

. Next would be CK2 or EU4, depending on your tolerance for looking at lists of characters (if high, CK2, if low, EU4). Darkest Hour (a modified version of HoI2) is also worth a look, but it's UI is a generation older again, and takes some getting used to after playing the more modern titles.