Some tips mentioned on here on other threads that bear repeating for all new players:
1) This IS the best game ever made. It will consume your life. It's kind of like heroin without the whole "illegal" thing hanging over it.
2) This is a HISTORICAL simulation, not a war game. War is a PART of history, but like in history, too much war is bad. This game will smack you hard if you warmonger too much. World conquests (taking over everything) are POSSIBLE, but tedious to say the least.
3) This is a historical SIMULATION. Historical events add flavor to the game, and are designed to be plausible outcomes off history. After all, if the game repeated history exactly, it wouldn't be that much fun. You'd have nothing to do.
4) Play the Grand Campaign from 1419 a few times before downloading any MODS. I would recommend starting with the easy majors (England, France, Castile, or Austria) for the first 2-3 games, then trying a harder major (Muscovy, Ottomans, Poland, maybe Sweeden or Denmark) for the next 2-3 games, then try a minor or two before moving on to the downloadable mods.
5) Set goals for yourself that are reasonable but still challenging, like unifying Germany as Austria or eliminating France as England or converting all christians to Islam as the Ottomans. I usually have 4-5 overlapping goals every time I play, and I try to stick to them. The "Take over the whole world" goal, again while possible, is sometimes tedious.
6) The best two mods (already mentioned) are AGCEEP (Advanced Grand Campaign/Event Exchange Project, a merger of 2 mods) and the IES (Independent Europe Scenario) which is a FAR better fantasy mod than the Fantasia scenario in the game. The Fantasia scenario in the game is fairly worthless (imagine 400 years without any wars or major event. Yawn)
7) Have fun. And if you start to dream that little "tink-tink-tink, KABOOM, KABOOM" sound that happens during any battle, you'll know you've become one of us.