Having more nations to play is a really big part of it. In Hoi2 (for me at least) the only nations worth playing are Germany, USSR and Japan - the allies won in real life so playing as them is rather dull, and all the minors don't really have the power to change the course of the war without a lot of tweaking. Playing neutral countries like Sweden is also dull since the game is pretty much based entirely around war.
While in Vicky and EU2, there's the option to do so much more. You have the option to develop your country and feel so much more a part of it. Also you can progress down certain ahistorical paths which don't really exist in HoI2 - sure there are some, but since it only covers a small period there really aren't that many.
