Having played both, here are the major differences:
Territory:
EU2 has much less terra incognita, including more territories in the central US and central Asia. There are also MANY more nations in EU2, especially outside Europe. In North America, the Huron, Cherokee, Dakota, Shawnee, Lenape, and Navajo (and maybe others) all exist in addition to the Iroqouis. Mexicon has Maya and Zapotec in addition to Aztecs. In Africa, Mali, Ashanti, Benin, Zimbabwe, Zanj, Songhai, Xhosa, Zulu, and Kongo all exist in addition to EU1's Ethiopia (which only existed in ICG). Indonesia is divided into Atjeh, Makassar, Matarram, etc. Tibet, Manchu, and Kazakhs exist in central Asia, etc. This means you can play a game in just about any corner of the world.
Military:
In EU2, you can annex more than 3 provinces in a war but cannot annex your enemies unless they are a) down to 1 province, or b)pagans. You can also force defeated nations to be your vassals. The quality of generic leaders has improved in EU2, especially for the non-major countries and more historical leaders have been added. This makes it more difficult to beat up on your neighbors as a major and also makes playing as a minor more doable. Troop support costs are far more expensive in EU2, making it difficult on maintain gigantic armies. Fortresses are much more expensive to build as well, especially up to higher levels.
Diplomacy:
Diplomacy has been greatly improved in EU2. You can sign treaties of military access with other countries, allowing your troops to march across their terriotory whether you're at war or not and your ships can use their ports. You can also sign trade agreements, which means your merchants will not compete with their merchants in the same CoTs (nations you have TAs with also can't embargo you). You can use warnings and independence guarantees to get CBs where you otherwise wouldn't have them. EU2 has also sclaed the cost of bribing nations (sending gifts), such that big, important countries like China and France are expensive to bribe while smaller countries can be bought cheaply. You can also release vassals. When you release a vassal, you cede some of your provinces to a new country that enters the game as your vassal.
Events:
You get far more random events playing EU2 than you do playing EU1, and there are a greater number of events you can receive. Some of them even cost money (i.e. boundary disputes, where you can pay X ducats to settle and improve relations or press the issue and gain a CB) and you frequently have choices about what to do. There are also pre-scripted historical events that help insure a more historically accurate outcome (i.e. Austria gets an event to inherit Hungary and Bohemia in 1526, as they did IRL). Again, you usually get choices along with these scripted events (i.e. you can play as Bohemia and refuse to let the Austrians inherit you in 1526).
Culture:
EU2 introduces the concept of culture to the game. Every developed province has a culture (German, French, Anglo-Saxon, etc.) and every country has one or more "state cultures." If you own provinces whose culture doesn't match your state culture, they provide 30% less income than they otherwise would.
Religion:
You have less tolerance to go around than you did in EU1. A fully tolerated religion only gives -4 to RR. Also, provinces you own that don't adhere to your state religion give 30% less income than they otherwise would.
Domestic Policy:
EU2 has domestic policy sliders that can be tweaked to customize your nation (i.e. free trade/mercantilism, land/naval, etc.) Domestic Policy settings also affect your gameplay (innovative countries have lower tech costs than narrow-minded ones.
So there are considerable differences between EU1 and EU2 that make EU2 a radically different experience even though most of the essential game mechanics remain in place. You should certainly try EU2, I definitely think it worth the investment.
